Its one of the best places in China to skateboard. Beyond that, its culturally desolate and the social scene tends to range from 'bleak existence in a factory dorm' to 'wealthy laoban drinking tea and whiskey all night whilst playing dice'. The foreign scene wasn't really good when I lived down there, and most of the good bars are by the border and geared towards Hong Kong clientele - i.e. a bit expensive for China. Since moving away I've heard good things about Base Bar. Shopping wise, try Hua Qiang Bei (along the metro line, unsure of stop's name) for unlimited electronics stores. Try Louhu station (end of the metro, by Hong Kong border) for clothes, bags, watches, anything of the fake variety.
Besides MK, I've yet to meet anyone that is very fond of Shenzhen, particularly after staying for more than a few months. It is very much a migrants city, which robs it of much of the character most other Chinese cities can sell themselves on. But a lot of moneymakers, that's for sure.