I recently had some friends staying with me who wanted to take in a day's shopping in Shenzhen. We didn't have time to apply for visa's and they were quite happy to get knocked back at the border and just enjoy the KCRC ride up to Lo Wu.
I did a search on t'internet to find out if we could or couldn't apply for 5 day tourist visas at the border crossing and found a number of posts on various forums stating emphatically that UK passport holders had to apply in advance.
So I thought I would share my experiences with you as we could. United Kingdom passport holders had to pay the reciprical price of HK$450 for the visa. It took about 1 hour to queue, apply, pay and pick up the passport with the visa issued. Note: This is not a visa for China proper but only for the Shenzhen Economic Zone. But, on a recent trip to Guangzhou, it is also possible to apply for a China visa at the train station on arrival in Guangzhou. STRONG WORD OF WARNING: If you are applying for a visa with a passport - MAKE SURE YOU HAVE A HONG KONG exit stamp in your passport - ie if you are a resident, and leave on your HK ID card, get a stamp in your passport. If you don't, you will not be able to apply for the visa and sent back to Hong Kong.
Also note, in Shenzhen there was a sign up stating that as of 1st April 2004, US passport holders were not able to apply in person - something to do with this new ridiculous business of having to supply iris scans, DNA, firstborn, list of favourite colours etc etc to paranoid US immigration officials in the states these days.