Go to Wan Chai for UNCOMPANY it's pretty much right across from the Morrison Hotel, on Wha Chai Street.
I use to live 5 mins from that shop, was there quite often but never bought much...
In Sham Shui Po, there's many small independent retailers selling lower end brands. Still very worth taking a look. In Sham Shui Po you will want to go to Apliu Street. This place has loads of lithium batteries, scopes, flashlights, replica eotechs and whatever gadgets you are looking for. All for dirt cheap.
Mong Kok you have your famous WGC Shop showroom with all the latest guns! They also have a nice selection of GBBR's for you to test out