The market is really something. It's organized into different buildings roughly by sub-category of electronics and level of integration. It's almost like a mall, but with small booth-style vendors and a fair number of separate buildings in a small district. A lot of the booths represent much larger companies and they only have a sample of their stock available at the market.
One building might have all low-cost consumer electronics devices. Flashlights, bluetooth speakers, etc. The larger vendors are primarily looking for a buyer to brand or resell their devices in volume, but you can buy singles as well. Many 'knock-off' products here, like a fake Beats Pill speaker.
Another building might have entirely connectors. One floor will be RF connectors, another will be standard PC connectors (PCIe, HDMI, etc).
Another building might have all LED lighting products. The first floor might be completed lighting fixtures: LED street lights, ceiling lights, replacement bulbs. The next floor might have LED modules, power supplies, strip lights, and drivers. Another floor might have individual LEDs on tape-and-reel.
Most people speak a fairly limited amount of English, so communication is a combination of pointing and pen/paper or calculator for pricing and haggling. Payment is mostly cash for westerners. Carry a reasonable stack of 100 RMB bills.
It's certainly an interesting experience. For hardware engineers or 'makers', it's certainly worth going if you're in Shenzhen or Hong Kong and have the appropriate visa. I haven't found a ton of use for actually buying things at the market because most components are not very well specified or tested. Standard RF connectors, LED products for one-off builds, or fun laser projectors are a good buy. I avoid ICs and batteries for the most part, or any unusual connectors. Passives are usually cheap enough on Digikey I prefer the reliable supply to measuring lead pitch or hoping the stated tolerance is accurate.
[edit] Someone else mentioned cash isn't as useful anymore, so maybe disregard that. I haven't been in 3 years, most of my work is near Shanghai these days.