For those with a HK film locations bent (which I assume you have if you are reading this blog) I can wholly recommend a new book out by Red-Publishing called: 電影朝聖 (English: Film Pilgrimage). It's been put together by Gary Wong who has been blogging about this kind of stuff for substantially longer than myself. You can find his similarly-named blog here: http://pc633hk2047.mysinablog.com/index.php
Red Publish website: http://www.red-publish.com/big5/book/1738
Okay, this is a Chinese book but if you don't read Chinese the book will still be helpful because the locations are identified in English at the top of the page and of course each film shot at the location is also listed with it's English name (incl. actors and director) in the text.
Some great photos and Gary has literally been all over HK (as well as Macau, Taiwan, China and even to Hungary) to compile this very impressive list.
Obviously this is a HK released book, it costs HK$98.00 and I got my copy from The Commercial Press, but you should be able to buy it at any bookshop with Chinese titles (e.g Poplar etc).