Jade Market
Nice place to buy Jade souvenirs. Very reasonable prices but don't forget to bargain like hell. Yau Ma Tei MTR station.
Ladies' Market
You get all the fake stuff here. "Missy, missy, handbag, copy watch?" Mong Kok MTR station.
Flower Market
Great place for buying flowers at very reasonable prices. Prince Edward MTR station.
Night Market
Good for a stroll after 7 pm. Basically the same stuff as at the Ladies' market. TST MTR station.
Cat Street Market
This one's more like a Chinese flea market. Cozy atmosphere. Good bargains. Cheung Wan or Central MTR station.
Wan Chai Market
Thrilling wet market. Wan Chai MTR station.
Stanley Market
Good deals, a little bit different than the stuff at Ladies' and Night market. Many galleries. They don't like too much bargaining though. Take bus 260 from Central to Stanley Market.
Here is another link with all the markets: