What's the easiest way to get from HK airport to Shenzhen?

There are two main ways:

Ferry to Shekou and taxi from there to SZX. See Hong Kong International Airport. The ferry doesn’t require you to enter HK. It takes you directly to Shenzhen, Shekou Ferry Terminal. From there it’s a 40 to 60-minute ride by taxi, depending on traffic. The only inconvenient is that you have to wait at HKG until they pick up your checked luggage for you, as you don’t have access to the luggage carrousels. Immigration at Shekou Ferry is usually quick.

Cross-border buses. See Trans-Island Limousine. The main inconveniences are that you have to enter HK; and go through HK immigration, again, and Chinese immigration at Shenzhen Bay. Which takes most of the time forever and a day.