1. Go to the Mong Kok markets. Regular retail outlets don't open till 1pm; street markets are open from late in the evening and disappear at around midnight. If you want to challenge people on fighting/soccer games and remain relatively unharmed by any triad presence, go to Cyber City.
2. Games/hardware, go to Sham Shui Po and keep your wallet in your front pocket.
3. For good retail shopping, go to Causeway Bay - lots of big department stores there.
4. Go to the Tsim Sha Tsui wharf to see Lei Wu Long's level from Tekken (look towards Central). Don't buy anything there, though.