I looked into the same issue late last year, and USA mail order is usually a better deal.
Most big chain retail like Fortress and Broadway will be more expensive. A few places at Golden Computer Center Shum Shui Po and 298, 268, and Wan Chai Computer Center in Wan Chai might be cheaper but I wouldn't expect any service once you have paid. So, I bought my camera body and lens mail order in USA.
However, I bought all my accessories in Hong Kong. For examples, camera bag, lens cleaner, filters, adapters, LCD screen protectors......etc
The following places are reputable, have free shipping, and are tax free if you do not live in the state of New York.
http://www.adorama.com/
http://www.bhphotovideo.com/
http://www.jr.com/
Some times Amazon has some really good deals that beat the above three. I only trust Amazon and not the third party sellers that are also advertised, so please look carefully. Also, no tax.
http://www.amazon.com/