What is easiest and cheapest way to go from Hong Kong airport to Shenzhen by subway/train?
You could take the airport express train to Kowloon, a taxi from the express train station to Hung Hom and then a KCR train from Hung Hom in Kowloon to Lo Wu. Fom there take a taxi (it is a short ride) to Shenzen. There are trains leaving for Lo Wu until 1 am. Here is schedule: http://www.kcrc.com/eng/services/services/er_shedule.