I've stayed on both sides of the harbour and much prefer HK island. My hotel of choice is the Shangri-La. One of the best shopping centers in HK is an elevator ride down (the hotel is on the side of a hill). Other great shopping is walking distance (e.g. Shanghai Tang) - and you can always take the ferry across to Kowloon to take high tea at the Peninsula Hotel (great fun and a must do).
My business partner and I used to go to HK every 6 weeks or so and stay for 2 weeks; we had an office in the Admiralty building and used HK as a "jumping off" point to the rest of our Asia Pacific territory.