Okay, okay, maybe it's cheating to just put up a link, but this is such a cute guidebook that I think it's worth an entry on its own. The Heritage Office has created a little guidebook that you can download here. It's really super, and it even has a section on haunted places in Hong Kong (they don't cover the more dangerous or controversial haunted places, but that's understandable). It turns out that I actually live next to one of them. Big surprise.
Anyway, enjoy!
