Just 2 km north of Shek O is an even nicer beach, Big Wave Bay. The waves of its namesake only really steam onto shore when the wind is up, making it a favorite spot for both surfers and windsurfers when a storm's a-brewing. Surf boards can be rented for around HKD 50 per day and bodyboard HKD 10-30.

Even if you're not into surfing, this is a lovely beach and if the weather is fine the waves are very gentle, plus it's a nice walk or bike ride from Shek O Village (bikes can be hired locally). Usually the sea is clear and great for swimming, and the cliffs here also boast some interesting prehistoric rock carvings.

Hong Kong has three other spots known as Big Wave Bay or "Tai Long Wan" in Cantonese, two of the others are on Lantau Island (West of Shek Pik and South coast of Chi Ma Wan Peninsula) and the other east of the Sai Kung Peninsula, near Ham Tin Wan. 

More beaches in Hong Kong.