Based on my limited knowledge of this great city...
All the major shopping centers have western clothes and grocery stores such as Sea World, Metro Supermarket in Nanshan near Ikea. Other popular shopping areas with western stuff is Coastal City (Houhai Metro Stn), Holiday Plaza (Windows of the World metro stn), KK Mall (Grand Theater metro stn), King Glory Plaza (Guomao metro stn). etc, etc, etc!
For just getting out of the house and not feeling totally out of place all of the above are great for seeing other foreigners and going for walks. Sea World has a nice outdoor square to look around and there's plenty of shops and other stuff in and around there. Sea World has mostly Tex-Mex and western food, there's an Indian Resto and a Thai resto there too, along with other really good restos and bars.
For good old walking and taking in the sights Window of the World is perfect if you like theme parks. OCT (OCT metro stn) is beautiful on any day especially look out for the signs pointing to OCT Loft it's good for artists and those enjoying old archetecture. The entire area was old warehouses with brick roads that have all been converted into art galleries and stuff like that. Not to mention the abundance of older apartment building surrounded in a jungle like setting. The foliage alone is worth the visit. Great spot to bring a girlfriend or a few friends and people watch from laid back bistros and coffee shops and has a decent night life too.
If you like really long walks and or cycling Shenzhen Bay is the place to go (OCT East metro stn) also at the same metro station is OCT Bay which is brand new and has an Imax theater as well as another regular theater, it's an up and coming destination for everyone thats looking for bars and restos of all kinds. It's expanse and has even a cigar lounge or two.
If you're into Shisha(Shushi or sheesha) like I am, most Indian restaurants have it. There's Little India's Restos at three locations in Shenzhen; one for sure at Coastal City and the food is quite good according to my Indian co-workers and friends. They're owned and operated by Indians. I love it as an alternative to western and chinese food.
The best places for any night are Sea World (Sea World Metro Station), Coco Park (Shopping Park Metro Station)and Soho Bar (Guomao Metro Stn) as far as bars and being able to converse in English go.
I want to mention. If you're looking for a bar but don't want to be forced to buy a dozen beers and a platter of fresh fruit or a bottle of Chivas. Then go to Coco Park bar street and look for a little bar called La Casa and order what you want. It's owned and operated by a Canadian and Dave runs the place like if it was in Vancouver. You only need to pay for what you want to drink. It's got a great vibe, lots of foreigners and plenty of local and foreign eye candy. La Casa is flanked by two bars. Bang Club and Viva one blasting cool house music and the other starts off the night with 80's tunes slowly switching up to good house music too. It's all out-doors and you party under the stars all night. There are at least a dozen other bars worth considering too.
Shenzhen doesn't have a closing hour so the bars stay open till the last man standing.
Shenzhen has a cornucopia or two of red light districts, erotic massage parlors and what have you. It's not considered the City of the Second Wife by Hong Kong and foreign men for nothing! I can expand on this info via PM. Also if anyone wishes; PM me known red-light hot spots(straight,gay, whatever), I'm often asked this question.
Please do add and expand on this topic, coz I am sure as heck not an expert on all of the things to do in Shenzhen. But thought it would be cool to start giving expats a starting point!
Kris