I'd say bring anything you have a particular 'taste' for. If there is a specific type of toothpaste or perfume, bring over a bit of it. Of course, you can find just about anything in Hong Kong, but there are some varieties of things that are tougher than others (i.e. you can get 4 types of Colgate toothpaste in HK but there are 25 types in a US grocery--if you like something specific you might want to plan ahead just in case).
I brought some long underwear too. Yea, sounds nuts in the middle of summer but there were a couple days (when I was outside in the cold) that I was glad I had it, and that is something tricky to find. If you plan on traveling to say Europe in the winter direct from HK, bring clothes appropriate for that (I'd get on a plane in HK where it was 70 degrees F and get off in London where it was 30 degrees F. Ouch). Finding wool gloves in Hong Kong was tricky (but I did manage to do so).