Another key scene, and one which the blurb says took a total of 5 nights to shoot (in both senses of the word) was the gunfight where Hemsworth and Tang manage to escape into what appears to be Quarry Bay station. Actually, Quarry Bay is also mentioned as the location on screen. This was a bit of a trick done by the production crew (and seems to have fooled whoever wrote the locations information on IMDB) because the scene was actually shot in front of the Hang Seng HQ along Connaught Road in Central.
There is a mention on wiki that Michael Mann donated a rather large sum of money to the Hang Seng Community Chest as a token of appreciation for the company letting him use the area in front of their lobby for this scene.
In the film they stop the car to discuss how Hemsworth now needs to go it alone but are rudely interrupted by the bad guys who have tracked them down with a device fitted to their car. A gunfight ensues and Hemsworth and Tang are able to run around the corner and into Quarry Bay Station.
But actually, if you look carefully you will see this isn't Quarry Bay at all and the station entrance they go through (bottom picture) is actually a mock-up stuck on the side of the Hang Seng Building along Jubilee Street. Here are some Streetview grabs to show the area. The top Streetview grab shows the area along Connaught Road where the scene took place. In the film, the white car has pulled into the layby in front of Hang Seng (where the taxi is parked on the right, below).
The actors then ran around the curved corner of the Hang Seng Building onto Jubilee Street. You can see that the Streetview shots taken in 2010/11 were also showing the construction site on the opposite side of the street corner. And in the lower picture you can see the entrance into the building that was transformed into Quarry Bay MTR for the film (behind the digger).
I'm not an IMDB member otherwise I may be tempted to change the location entry I linked to above. Perhaps someone will read this and do it for us?