Have a read here: Tai Long Wan - a beautiful area in Sai Kung, Hong Kong
Just been to Shek O and i can say it is indeed quite nice! Mind you, i went in the weekday and there wasn't many people. Nice clean sand and a nice hilly landscape too (i didn't swim, so can't really comment on this). Even the bus ride was pleasant.
Also went to Deep Water Bay nearby, that was ok. Smaller beach, but felt "dirtier" to me somehow... I would suggest stay in Shek O and not make the trip to DWB.