I spent a few days in Hong Kong last year. Did a mix of touristy type stuff and got off the beaten path. A few things worth doing:
-Victoria Peak. Its the most touristy thing you can do there but the views are worth it. We paid a little more for the top terrace pass which was also worth it.
-Take the ferry over to Kowloon.
-Temple St Night Market. Buy a few beers and just walk around until you find something you want to eat. Fresh seafood everywhere,
-Find some roast goose and bbq pork. Superb.
-A few hole in the wall spots that I went to for great food: Kau Kee (noodles), Yat Lok (bbq and roast goose), Tim Ho Wan (dim sum). EAch of these places is dirt cheap and also has a Michelin Star or is on the Michelin watch list. Its basically unheard of to eat at restaurants that highly regarded for under $20 (or even under $100) so I think its worth it.
-Nightlife in Lan Kwai Fong. Its expensive but you run into all sorts of expats, local rich people, we stumbled across a bar packed with models that one of my friends recognized so we were completely out of our element.
-Nightlife in Kowloon seemed to be more locals which was also interesting.
I hear going to the race track is a ton of fun there but we ran out of time. Macau is Vegas on Asian steroids from what I understand.