Appearances in Hong Kong are important. This is a city where suits are still de rigueur for meetings and business functions, and women are expected to look elegant (or at least trendy). Slop around in flip-flops and shorts and you will feel there's a neon "tourist" sign over your head. Pack your nicer pairs of jeans, slacks, or skirts for sightseeing—there are plenty of fake handbags around to dress them up with if you're going to a nice restaurant.
From May through September conditions are seriously hot and sticky, but air-conditioning in hotels, restaurants, museums, and movie theaters can be arctic—keep a crushproof sweater or shawl in your bag or pack. Don't forget your swimsuit and sunscreen; many large hotels have pools, and you may want to spend some time on one of Hong Kong's many beaches. In October, November, March, and April, a jacket or sweater should suffice, but from December through February bring a light overcoat, preferably waterproof. Compact folding umbrellas can come in handy to protect against either rain or sun, but hotels will also lend you larger ones for the day.
Get in the mood for your trip with some great reads. Epic Novels: Timothy Mo's An Insular Possession and James Clavell's Noble House. History 101: A History of Hong Kong by Frank Welsh. Classic Cultural Primer: Hong Kong by Jan Morris. Political and Social Satire: Larry Feign's comic book The World of Lily Wong, or Hongkongitis. Reminiscence: Gweilo by Martin Booth.