I can second Shri's observation on the BigWHiteGuyIN HongKong site....it was a great source of information and perspective and humour - you'll need it all!
I also use Personal Brain to organize links...www.thebrain.com...and created a HKLiving category. It grew and grew, incuding the very helpful government sites www.info.gov.hk I think. Also use google and search on expat sites, hong kong lease/rent/apartment/flat etc. You'll soon beging to get a number of sites that give a feel of living here. Note: you can find cheaper rents than advertised on the net...and DO bargain. That was totally foreign for me and I simply said "yes" to a price for a lat I like. Now I know I pay 100% more than my friendly and informative Chinese neighbour. Be prepared for that...I have heard that one way of looking at it is RIP OFF, another is "why on earth would you, with your money, expect to pay the same as soeone who has so much less?". There are differeing approaches to many things..be vigilant and if you DO have more, don't get too excited - just be sure you feel you are paying what you feel is right in your own mind. I find Hong Kong surface friendly. That is, easy, temporary, fast moving contacts, hard to build a circle unless your work does that for you. As the only expat and top guy, work offers me no social contacts at all, and long hours that make joining events tricky. Be prepared to be self-contained, or shape life so that you can estabish contacts and have people to go to dinner with now and then!
Re cost of living: totally depends on the life style you seek. Dinner can be a $40 HKD Cantonese dish of Gon Cha Ngao Haw or a $1500 HKD Italian repast. Your highest costs will likely be housing and Air Con.
Atittude is everything...I am struggling to learn Cantonese and find that even being able to say excuse me, thank you (conveniently the same phrase) puts you in an entirely different class in terms of the warmth of reception from locals.
Read up on the 5 stages you'll go through as an expat...and let yourself go through them sensibly ;-)
Exciting place...never dull..enjoy!