for Shenzhen, there is the single entry 5 day 'SEZ Tourism Visa' available at the Lo Hu crossing. from what i know, this visa
only allows you to stay within the confines of SZ. so, once this visa is issued at Lo Hu, you MUST exit the mainland at any
SZ entry/exit point (not necessarily Lo Hu, could be Lok Ma Chau, Shekou etc). a friend from the UK tried this visa system
recently and it costs him about 450HKD if i remember correctly. this visa is available to most nationalities and there are different
price structures according to the nationality. Americans are rumoured to be unable to get this visa however.
Zhuhai has a similiar 'SEZ Tourism Visa' as well and i think similiar costs and rules apply.
But guys, if you do get such visas, please do not leave the confines of either SZ or ZH as per the visa conditions. We all know
that crackdowns are going on these days. Wouldn't be nice to get checked by a GA in DG with a SZ/ZH-only visa.