Macau is definitely nice, we were just there february of this year with some cebu friends to watch The Police reunion concert @ the venetian resort and casino. YOu can do a day trip from HK and comeback late night by ferry. Turbo jet operates 24hrs. No need to go thru a travel agency. There is a visitor info center right inside the terminal where you can get free tourist map and your good off the hook.
There are cheap accomodations shud you decide to stay for overnite. What more, if you are a couchsurfer, then you can stay in macau with CS'ers for free.
Happy travel!