I think Oldtimer confused these bonds with the inflation-linked bonds that the government issues from time to time. Those give whatever inflation is deemed to be for the quota of $10k or $20K that you get in the IPO, but the same as any other government bond in the secondary market. Apart from the government handout which is the IPO of the inflation-linked bonds, the bond market is fairly low yield again now unless you wish to take some significant risk of default.
To answer the original questions, I simply invest through my bank (HSBC). I am a buy and hold sort of guy, so I only trade a handful of times each year. That being so the convenience of managing my money through a single integrated online portal outweighs the fact that HSBC's brokerage charges are a bit higher than I could get by shopping around other brokers. The difference is only a couple of hundred dollars a year or so for my trading pattern.
What to invest in is, of course, the key question. Personally I look for solid stocks in real businesses that I can understand, with a reasonable dividend yield. My biggest holding is Power Assets, which gives me about 6% on what I paid for it (though it is also up about 50% since I bought, and the dividend yield if you bought now would be about 4%). I also have a chunk of HSBC, though for less volatility you might look at Hang Seng Bank, which yields about 4.4% currently. You might also consider simply investing in the Hang Seng Index overall via the Tracker Fund (which pays dividends as if you owned the underlying mix of stocks), but for me that is now more heavily a mainland play than I would like.