Some random comments about Macau, lightly edited from my comments on this thread at Geoexpat
Getting there
The ferry from Hong Kong costs about $320 return economy class, $530 super class, assuming you don't return before about 6pm (it's cheaper if you come back before that). It takes about an hour to get there, on the jet hydrofoil, which is a pretty cool thing in itself - you can feel both the speed and the flying from inside. It's always been a smooth ride for me, but I've never done it in bad weather. In general, I think it's normally safe to just buy a ticket at the terminal on the spot, which is all I've done, although it's possible you may end up waiting 30-45 minutes if you turn up a few minutes before a departure and it's full.
There are two terminals in Hong Kong - the Macau Ferry Terminal in Sheung Wan, and the China Ferry Terminal in Kowloon. The Sheung Wan terminal is the main departure point and has more frequent ferries.
Getting in
Leaving Hong Kong and entering Macau is considered international travel, but it is not travel to China - Macau is a SAR, like HK, and has similar (and similarly local) immigration rules.
Full information is on the Macau tourist board website, but in summary: HK ID card holders need no visa in advance and can stay for a year... Brits get 6 months... Europeans and various other random nationals get 3 months... Aussies, Yanks, Canucks and various other random nationals get 1 month. If you think you may not be covered, check the website for a complete list.
Layout
Macau consists of the Macau Peninsula and two islands, Taipa and Coloane, which are now largely joined into one big island by land reclaimation between them. There are three bridges between the peninsula and Taipa. The mainland is pretty built-up, Taipa is partially built-up, and Coloane is mainly undeveloped, and has largely smaller buildings where it is developed.
Getting around
Local transport is pretty cheap - say no more than $20 (busses) or $50 (cabs) for the day. I find the busses quite good - on one of my trips, I picked up a (now rather dog-eared) tourist map with all the bus routes on it, which they don't seem to give out any more. While you wouldn't want to walk between Macau and the islands, the Macau Peninsula is relatively compact, and most of the tourist things are within walking distance of each other.
Eating
Food obviously varies - you can eat for $30, you can eat for $300, you can eat for $3000...
Lord Stowe's egg tarts are good...
Fernando's, all the way down on Hac Sa Beach on Coloane, is good for lunch - meat and fish - and it's traditional as part of a day-trip. It can get busy, however, and I don't think you can book, so if you're in a large group it could be a problem. There's also a nice square, on the water on the west of Coloane with Chinese/Macanese restaurants all around it.
Touristing
A $25 pass gets you into the national museum, the maritime museum, the wine and racing museums, the art museum, and the small Lin Zexu Museum.It's worth spending time - particularly if the weather is nice - just hanging around in town, around the Largo do Senado, the central square - it's nicely done up, it's lively, there are shops and coffee shops, and it does have a genuine Mediterranean feel to it. I think the famous church ruins are a bit over-rated, but maybe that's because I've been and seen them, and I've seen more impressive church ruins elsewhere. The national museum isn't bad, although again, it's only something you're going to want to do once, I think. Same applies to the Maritime Museum.
Fisherman's Wharf is quite nice, but very very artificial - not for those who like their tourist experiences genuine.
I haven't been go-karting, to the art museum or the wine and racing museums (which are, amusingly, on the same site), or up the tower.
Gambling
Gambling is, well, gambling. I've only been into the floating casino, where I had a huge $80 win on a fruit machine - from a $2 stake, that's pretty good - the Lisboa, which didn't particularly do anything for me, and the Sands, which was fun and very Las Vegas style.
Getting back
There's no particular need to hurry back in the evening - the ferries run pretty frequently late into the night, and it's only an hour or so back to HK.
Money
Macau has its own currency, the pataca, which is worth about HK$0.97, but the HKD is pretty much universally accepted in Macau at 1:1 - certainly anywhere tourists are likely to go.