In the evenings Temple Street in Kowloon comes alive with a night market selling everything from fake designer bags to, erm, fake designer watches. It's a fun place to be -- especially for the food options.
There's absolutely nothing fancy, just street stalls, but most vendors set up some tables and chairs for customers. Hygene isn't the highest priority, but despite saying that, I ate there for a week without any bad effects. The food is proper, traditional Chinese, but it's the opportunity to eat it with the locals who gather to gossip and sink Tiger beers that make it such a special memory.
The Temple Street market is a tourist trap, but the food stalls seem to still be catering for the people of Kowloon so it's worth building in an evening visit -- and it's as cheap as can be (even though you'll probably get charged a bit more than the locals.)