Unless you are changing vast amounts of money, I think it's a false economy to run all over HK to find the best exchange rate from a bank. The 50 cents or a dollar you gain with an improved rate is wasted by additional travel and time.
Someone (I believe it was one of the regulars... PDLM or Skyhook?) once did a comparison of converting a fairly sizeable amount of money (tens of K) between a couple of banks, and the difference came down to the cost of a short taxi trip. If you're changing over a hundred or so K, then it's worth looking closer at bank exchange rates.
I can't be bothered digging the thread up again though, as it is to me so patently obvious (I've also done the arithmetic a couple of times before to satisfy my own curiosity.)
That said, it does make a difference whether you use a bank or a money changer. Most money changers charge quite a lot via having a really bad rate compared to the banks. Though it looks like Berlin mentioned above could be worthwhile- the spreads there are surprisingly narrow.