Address:

Hong Bo Hotel, 10 Qiaochen Xilu, 侨城西路10号鸿波酒店, 2690-8666

SZDaily wrote about Adelo Mediterranean Restaurant in Dong Men:

• Although the restaurant caters to foreigners, Adelo hopes to reach out to more Chinese diners. To that end, they are redesigning the menu to include more Chinese-fusion dishes with rice. But they aren’t selling out. The new menu, which should be out by press time, will also feature the addition of more traditional Moroccan and Algerian dishes. Hopefully, falafel, pita bread, and baba ghanoush will also be available.

  With a wide variety of tasty Mediterranean dishes, a pleasant atmosphere, friendly staff and a prime location, Adelo is sure to satisfy your dining desires and is a welcome addition to the city’s international dining scene.
  

Located at the Laojie Metro station exit C. Right along Shennan Road Underneath the U-shaped bridge. 

PS. seems already closed again. Photo comes from : shenzhenphotos.com  

Address:

Ground Floor, Hotel Intercontinental, 9009 Shennan Road 3399 3388

I've been to the Amazon Brazilian BBQ in Shekou once, and it was pretty good. You can eat unlimited BBQ food and get lots of icecream etc. Not all BBQ food was equally good, but overall a good experience and not too expensive!

Address: 

Location 1: Lower level, Citic Plaza (Zhongxin Guangchang) Luohu 2594 1188
Location 2: 117 Sea World, Shekou, Nanshan 2668 3388

Amigo's 欧蜜戈西餐厅 has two locations.

Address:

Luohu : Ground floor of Carriana Friendship Center on Renmin South Road

Shekou : Ground Floor Honlux Hotel (across from McDonald’s), Seaworld Boardwalk 蛇口海上世界广场鸿隆底座, 麦当劳对面2683-5449

AmsterdamSnack: Dutch delicacies in Shenzhen!  I was totally amazed to see this place in Dong Men. I think it opened around October 2009, hope they stay for a while so we can all enjoy 'kroketten' in Shenzhen :)

Update: we've now been to AmsterdamSnack to try the kroketten and patat (french fries). See for new photos below: 

Address (Shekou):

1/F, Hong Long Hotel, Sea World, 32 Taizi Lu, Shekou, Nanshan District

南山区蛇口3号太子路海上世界鸿隆公寓首层

Bamboo Lounge at Seaview City Hotel Shenzhen. Named after the bamboo that surrounds it, the lobby lounge offers a rich variety of cigars, wines, cocktails and beverages. Eight types of tea: three flower, three fruit and two herbal teas are on offer, promising relaxation and a respite from the heat outside. Time: 10 a.m. - 1 a.m. Price: 48 yuan (US$7) per person; covers a pot of tea and some cookies.

Address:

1/F, Seaview O ?City Hotel Shenzhen, No. 3-5 Guangqiao Street, Overseas Chinese Town（华侨城光侨街3-5号海景酒店）

Tel: 2660-2222

Italian restaurant in Shenzhen.

Address:

Address: Crowne Plaza Hotel, 3rd fl., 9026 Shen Nan Rd., OCT District, Shenzhen, China Phone: 0755/2693-6888 Ext. 8022, 8023, or 8106

Cafe de ZZ 之朗之咖啡馆 in DongMen

Address:

8/F, SEIBU Bldg, Dongmen. 东门西武大厦8层, 8238-8015

Western Grill restaurant in Shekou. 

Address:

114 Taizi Lu, SeaWorld, Shekou, 2682 5847

Casablanca 卡萨布兰卡

Address:

G/F, Yingbin Building, Taizi Lu, Shekou. 蛇口太子路迎宾大厦首层, 2667-6968

Inside the Central Walk shopping mall in Futian district, there is a small food market where you can eat lots of different kinds of food for affordable prices: Korean,Western, Japanese, Chinese.

Address:

Central Walk shopping mall in Futian

When you enter from the side of the Exhibition Hall, go down one level and then left immediately and you will see it soon on the outside (not the inner area).

Coco Park food court is located at the 3rd floor of Coco park. It's similar to the food court in Central Walk in setup; both offer tepanyaki (Japanese style food fried on a hot metal plate) and various other Chinese cuisines. You normally buy a card to store some money and then pay at the various little counters with this card. Currently (June 2009) they offer a special offer: buy 300, get 330Y worth of deposit. The little shops often have special discounts, such as Korean-style stown-bowl rice for 18Y (instead of 28) and tepanyaki fried beef for 28Y instead of 48Y. There is also an excellent fresh juice bar that offers really nice drinks. So far the most amazing combination has been pineapple+haw, delicious!

Address:

Coco Park (Gou Wu Gong Yuan subway stop), 3rd floor above the main entrance / side of the Jusco supermarket.

website: delicity.com.cn  

ColdStone Creamery offers a nice variety of ice cream from classics like French Vanilla and Chocolate to unique flavors like Cake Batter and Cheesecake. You can get your favorite flavor ice creams and add in a topping like Reeses Peanut Butter cups which they will mix in for you on a marble counter and serve it to you in a nice specially made waffle cone/cup. They also have a wide variety of suggested specials like Monkey Bites and things like milkshakes. Prices for ice cream are a bit up there ranging from about 20-40RMB depending on the size.

Address:

Guomao metro. Use the exit for Kingglory Plaza and as soon as you get in to the mall, it is on your right side next to a Watsons

This restaurant in Luohu sells hamburgers and sandwitches (15-23Y) grills (3-5Y per stick), fried foods and more 'Cowboy' food. ShenzhenParty has a positive review about the place.

• I just checked out this new "Diner" Style Western Burger, Coffee and Sandwich Place in Dongmen.
  I must say, I did very much enjoy it, The staff speak enough English to order, everything is very clean and the manager is an American Chap, very nice guy. (Oh boss when you read this, I love your punch lines!)
  
  The Prices are good
  We had the following.
  3 Coca Cola (In traditional Diner style glassware)
  3 Double Cheese and Bacon Burgers
  1 Large serving of "Freshly pressed fries, not like the mcdonalds ones"
  Total: 93rmb (31rmb per person)
  

Menu:

Download it here.

Address:

Nantang Shangye Guangchang A165
Dongmen, Louhu
Corner Of Shennan Fudau And Yongxin Streets
(0755) 8238 3132

The Location is as follows:
Dongmen, On the same road as the MAIN entrance to Club Chocolate, Only its about 2 blocks east of Chocolate. At the Intersection where the Asia Hotel is, You WILL see it.

Address:

No 5010 5/F Luohu Commercial City Square South Road Luohu District, Shenzhen Tel No.: + 86 (755) 8232 3668 / 8232 5661

No.3004 Fuqiang Road, Futian District, Shenzhen Tel No.: + 86 (755) 8385 0555 / 8385 0556

Enotsuru 江之鹤日本料理

Address:

Hairun Guangchang, Zhenxing Lu, behind the Construction Bank 振兴路海润广场 建设银行后面, 8324-2370, 8334-0254

High reputation in the country for the good ingredients and unique smell because of the excellent combination of main and supplementary ingredients and seasoning.

Address:

1/F World Finance Centre, No.4003 Shennan East Road, Luohu District, Shenzhen Tel No.: + 86 (755) 2598 1260

website: www.fenghuahuoguo.com

Flying Elephant Pizza 飞象比萨 (Luohu location)

Address:

Luohu (Yijing) Store, 罗湖店, 2552-4521

Focaccino received some mixed reviews, but mostly positive at ShenzhenStuff, but overall seems to be a good place for vegetarian cuisine.

•  nice selection for vegetarians. its a bit expensive, but the set lunch is a good deal...for about 35RMB (i think) you get a drink, soup, bread, main dish, and small dessert. great bargain! friendly staff and nice to have the wifi as well.

Address:

Coco Park (Shopping Mall Exit C), Fuhua 3 Road, Futian

福田区福华三路星河Coco Park (购物公园站)酒吧街088,089号铺

(0755) 2531-3781

"Four seas international house" (四海一家 ). I've been to this restaurant once and it's great fun. It's not cheap by Chinese standards (around 150RMB/pp), but you can eat as much as you want for a fixed price and all food is displayed so you don't have any problems with translations and even better: there is a big variety of food from different parts of the globe. So no matter if you want to try Chinese, Japanese, Indian or Italian, it's all possible. Seafood, cake, fresh fruit juice. All possible! It's on the 3rd floor of Yitian Holiday Plaza and the price varies according to the time of the day and day of the week, with weekend evenings the most expensive.

Address:

Inside Yitian Holiday Plaza in Nanshan district, across the road from Window of the World. You can take the subway directly to Yitian holiday plaza.

Garden Grill Brazilian Barbecue 花园巴西烤肉

Address:

3 Taizi Lu, Shekou. 蛇口太子路3号. 2667-6608

Garwon (also known as JW) is a Cantonese chain of restaurants. Food is clean and prices are low to normal. Not the place to go if you want to eat spicy food or enjoy a nice dinner, but perfect for midday lunches at work or when you are shopping. Personally I eat almost every day at JW because it is located close to my work in the science park in Nanshan district. They also deliver via their website .

Address:

Shangri-la Hotel, Shenzhen, East Side Railway Station, Shenzhen, 518001