I have lived in Hong Kong for the last 8 years and can report that there are a number of very good and cheap retailers. Many goods here tend to be grey market. Like anywhere, though, there are 'dealers' who are there to fleece the unsuspecting. Likewise, there are a couple of retailers who have no internet presence but will ship overseas and give you an excellent price. I can probably help, depending on what you're looking for. Many regular 35mm items can be had for similar prices by mail order in the US (B&H for example). I'm a Brit so am accustomed to monsterous retail markups, so for me the HK prices are excellent. There are two outlets here who have given me consistently good prices for Canon, Mamiya and Nikon bodies and lenses, and I've just ordered an EOS1D MkII from one of them.
Let me know if you need specific help - it would be useful to know what you're interested in buying.