
Just back a week ago from Hong Kong and Macau with a friend. It was kind of a breakaway trip from my hectic work.
On touching down to Hong Kong International Airport, we bought ferry tickets (at the arrival), straight to Macau. The thing that impressed us was that, as part of the airport's integrated sea, land, air service, our luggages were 'invisibly' moved from our in-coming flight to the ferry, without us physically carry them on the boat and no check-out of the airport! Take a fast boat from the Hong Kong Airport's ferry terminal to Macau ferry terminal in about 45mins. Actually, not many people know about this arrangement.
Macau is a small place with many good to visit casinos, not necessary to gamble though, you could just take the free shuttle buses from the ferry terminal to any casinos or hotels, even if you are not staying there. If you have a camera, do take pictures of their hotel structures and decorations, they are really nice. Oh, don't forget to pick up a map at the ferry terminal, don't worry, you wouldn't get lost, if you do, just go to any hotel, take their free buses and go back to the starting point, the ferry terminal.
If you want to, you could also take the local buses (not expensive!), and go on a short trip to Taipa and coloane islands to the south, and enjoy the more laid-back rural life. Most locals may not speak English, know where you are going, check the route map at each bus stop first. Remember this, the buses can be very crowded in the evening, as most are taken by the workers from the construction sites, they jam pack the buses, and don't have to habit the give way to alighting passengers, you may have to squeeze your way out.
Some places to visit, the Chapel of Saint Francis Xavier, Senado Square, Ruins of St. Paul’s, etc. Oh, remember to buy the egg tarts from Lord Stow's Bakery at 1 Rua da Tassara, Coloane Town Square on Coloane Island, really sweet and tasty, don't miss it!