Allow me to clarify further what Abalonelover said...
The shenzhen visa allows you just to travel to the shenzhen economic zone I believe.
Back in the days past, Shenzhen District was really considered quite separate from the rest of mainland China. It was the zone where new economic, legal, political ideas were tested out on some trusted Chinese people. It was to be the place where those lucky mainland Chinese really got to interact with foreigners without restrictions from the government. Of course some of those new ideas were too liberal for central government's liking at the time and they did not want the rest of the country get exposed too early.
So what does the govt do, they set up a internal border check point between Shenzhen district an the rest of China. I remember those days whenever I was on the bus/taxi/car, we had to stop at the checkpoint to see if our travel documents had the correct visa to visit all of China when on the way to China or on the way back to Shenzhen, the locals were checked to see if they had permission to enter Shenzhen. If I only had the Shenzhen visa, I would not be allowed to proceed farther into China but told to return to Shenzhen.
For my US passport holder friends, I remember it was so easy at spur of the moment to pop into Shenzhen for a day trip because it only cost HK100 for anyone to get a Shenzhen District visa at the HK-Shenzhen border, no need to go days earlier to a travel agent. Then because of some globalpoliticking crap, the service was stop for Americans and they had to go to travel agent to apply for a regular China visa that costs at least $600 for single entry and took a few days to process back at that time. Now I think it costs at least $1000 for single entry.
I am not sure, but I think the Shenzhen visa is not available anymore as the government does not even stop vehicles as they zoom without stopping through the old Shenzhen-rest of China checkpoint. The rest of China is like Shenzhen in political, economic, social thought. I assume everyone just gets the whole China visas.