A friend of mine recommended the International Social Services (sponsored by the Home Affairs Bureau) - for cheap Cantonese classes. It only costs HKD 100 total for a series of classes - not sure exactly how many - and meets every Sunday from 1pm-4pm at the Southorn Centre in Wanchai.
Here's the email from the instructor:
"For those of you that ask me for the new Basic Cantonese Class, there might be a new class on Sundays from 1:00pm to 4:00 pm. However, nothing is confirmed yet. Please find enclosed the enrolment form. If you are interested, please fill in the form and e-mail back to me. As soon as we have 15 students, we will start the class. ISS will not start the new class unless we have 15 enrolment forms on our hands."
I've attached the application form. If interested, please fill out the enrollment form and send it to the instructor: [email protected] so that we can get these classes started asap!
Also, it appears you have to be an ethnic minority (ie. non-chinese) in order to do this.