If you are reading this article, then you are probably staying, or planning to stay, in China longer than a regular tourist visa will allow, and you are considering your options. First, you need to decide what kind of visa you'll be getting. If you’re going to be here for more than a month or two, and want to work or study without breaking any laws, you’ll need to go with Business (F), Student (X), or Employment (Z). I'll go backwards down the list about what they are and how to get them in Hong Kong, the closest, and most inexpensive visa run option for most expats.

Employment (Z) visas are a no-brainer. If you have a job, you need to get an employment visa. If the company you are working for can not provide you with an employment visa, you should probably be worried because that most likely means that they don't have the legal right to hire you. This means you’ll have to get a Z through an agent or service (which is expensive) or get an F visa. Don't panic...I said worry. This situation is actually still pretty common, but it is far from ideal. If you are a full-time employee of a Chinese company and don’t have a proper Z visa from them you are not legal, and they know it. If you have a legit job, then your employer will assist with the attainment of a Z visa. However, unless you use a service, you have to get the Z visa outside of China. I’ve been in the situation where, since I first entered the country on a tourist visa, I had to exit the country and get my Z visa in Hong Kong. (I actually love Hong Kong, so I'm never that disappointed when I have the chance to spend a night or two there.)
Student visas should be pretty self-explanatory too. Any accredited university in China should be able to provide the paperwork needed to get you a student (X) visa. The exception here is if you’re doing a shorter term program (less than a year), in which case they should help you get an F visa. Usually a small private school, or language center, wouldn't be visa worthy and you’ll have to get an F visa.

Business (F) visas are where all the grey areas can be found. If you already have a valid business visa, the hard part is over. It's pretty simple to just pop down to the local Entry-Exit PSB and have it extended a few times. Technically, the requirements for a business visa vary depending on where you find the information. For example, the China Foreign Ministry in Hong Kong has this to say about business visas:

“(1) Visa Notification Form, or an letter issued by the company he/she is employed and the registration license of this company, or an invitation letter from the mainland company ant the registration license of this company.

(2) Under some circumstances, the applicants may be required to provide financial proof, a copy of Chinese hotel booking and return flight ticket booking.”

Whereas the Chinese Embassy in the United States says this:

“Business Visa (F Visa) is issued to an alien who is invited to China for a visit, an investigation, a lecture, to do business, scientific-technological and culture exchanges, short-term studies or an internship for a period of no more than 6 months.

US citizens may apply for a single entry, double entry or multiple entry (valid for 6 months or 12 months) "F" Visa as needed. US citizens may apply for a Multiple Entry "F" Visa valid for 24 months, if they submit documents proving that they have made an investment in China, or have established a collaboration with a Chinese company (e.g. business license, contracts, a letter of appointment, etc.) or they have been issued "F" visa at least twice within two years, and shall submit copies of the visas.”
Invitation letter? Registration License? Investment? Collaboration? Contracts? Previous visas? But most of the visa agencies say all you need to show them is your business card from your country of origin. Which is it?

If you don't have an excess of documentation and you are in need of a longer-term China visa, then you basically have three options: Do the Hong Kong run and apply for a visa yourself, do the Hong Kong run and use a visa service, or use a visa service in China.

Hong Kong visa without agency or service

This really is a pretty painless process. They used to provide same day pick-up, but now the rush service is next-day. Since it's still cheaper to rush the service than to stay for a week, most people seem to choose this option. You'll have to look at the Foreign Ministry in Hong Kong site for the prices for your country, and it's useful to download the form and fill it out yourself beforehand. You will usually need some kind of actual invitation letter from a Chinese company, and remember that you have to pay in cash in HK currency. Most of my Hong Kong runs have been done this way, and they have all gone without a hitch. When my company was footing the bill, I would get a decent hotel right around the corner from the China Resources Building and get in line early. When I was paying out of pocket, I would stay in the Chungking or the Mirador Mansions in Tsim Sha Tsui and take the ferry in the morning. The visa office is a five minute walk from the wharf.

There's also a nifty map on this page, as well as a warning from 2008 telling you to go back to your own country and not apply for a Chinese visa in Hong Kong unless you actually live in Hong Kong. It's pretty safe to ignore this warning for now.

Hong Kong with an agency or service
These are the guys that say if you give them the business card from your country of origin, they'll take care of the rest. If you don't have an invitation letter, then I would talk to these guys. I have used one of them in the past. It was relatively cheap and since their location was close to where I was staying in TST, it saved me two ferry trips. A quick Google search will get you a good list as well.

Visa service or agent in China
These services vary in every city, so it's really best to get the recommendation of a friend who has had success with a certain company in the past. I have a circle of friends who have all been using the same local company recently with relative ease. There is no shortage of ads in expat classifieds and forums all throughout China, but that is no substitute for good word of mouth – after all, you’ll be giving them your passport and a big chunk of cash (generally, you want an agent who lets you pay on receipt of the actual visa and not when you hand over your passport). Some of these services can be a bit expensive, but depending on where you live it's probably cheaper than flying to Hong Kong and back. Also, if you are changing your visa type from Tourist to Business and don't have a letter from a Chinese company then it is often useful to consult with these professionals.

Note: If you don't already know, it's a lot cheaper to fly to Shenzhen and then take the bus from the airport to Hong Kong. The bus runs about 150 RMB, and they have a stop in Wanchai that is one block from the China Resources Building. The bus trip takes less than 2 hours.

Once you have a valid visa, you can usually renew it a few times. In many cases, the first two renewals are for 90 days, and then 180 days. As it says above, there are cases where if you can show that you have made a sufficient investment in China etc., you can apply for a 2 year multi-entry visa.

All that aside, there is also no substitute for just going to the local Entry-Exit branch of the PSB and asking them for recommendations. If your visa hasn't already expired, they are usually very helpful and will always point you in the legal direction.