if you want to choose one in those three, i think Shenzhen is the best, and Dongguan is the worst.
in Shenzhen ,you can visit the amusement park, like the Happy vale, the window of world. also, there are many famous views in the city, and it is considerd to be the most beatuiful city in the south china.
Guangzhou is big, and a bit turbid. comparied to Shenzhen , there are less views, and poorer environment.
don't go to Dongguan. it is very confusion. the rob\ the thief and so on. maybe now is better because of the beat by the government. but also is the worst in the three cities.

if you decide to shenzhen, you can send me a message, maybe i can give you more advices. anyway, i was born in Guangdong province.and live in it for 26 years.

When you go to Dongguan, you don't go there for tourism. This place is known for its girls, massage, KTV and sex.

I have an apt in Dongguan, but I live in BJ.

Actually, while there are some places of interest in Guangzhou, (former schools/houses of the rich merchant families, etc), Shehzhen and Dongguan have little worth in the touring department. I have lived in DG, SZ, GZ. and Forshan, and own a flat in DG. HK and Hainan more interesting.

If you are an avid golfer, then there is Mission Hills in SZ or all of Hainan Island. Otherwise, why go? Many better places to see in China.

James

Shenzhen has big wildpark zoo, but very expensive, 120rmb. Also Shetou area has lots of foreigners and such type restaurants and shopping. Big wal-mart stores. Car is very useful. If you want golf, need a car to go to Mission Hills and other places. But also golf near SZ downtown, SandRiver also has hotel; big fees.
Guangzhou i know little, has subway system.
Dongguan has superb girl service hotels and 2 hour sex service shops. Recommend Golden Lake Hotel. Price very fair for the treatment.

I live in GZ part of the time, too. I like it. I drive in GZ, but not in BJ, so I tend to go to more places (sometimes unintentionally...no grid streets going on in GZ). I like shopping around in the stores on TaoJin Lu and stopping for snack/drink at different little places in that neighborhood. There are some really nice shady, bamboo-filled parks with interesting history and old statues/stone benches to escape the heat.
HuangHua Gang Park and Liu Hua are my favorites.

I live near Baiyun Mountain, which is a bit touristy, but big enough to find spots to relax, especially during the week. About an hour out of the city is Conghua which has nice hotspring resorts. Bishuiwan is nice. You can rent a a little private villa by the hour or night that has your own stone, hot spring water filled tub overlooking the river.

Souvenir shopping for tea/Chinese paintings is easier and cheaper in GZ since there are whole streets/markets devoted to certain items and less tourists to drive up prices. The art Street is Wende Lu, it is behind Beijing Lu which is a pedestrian shopping street. If you walk off this road into the surrounding streets and neighborhoods, there is stil a lot of funky "old GZ" to see and check out. But then you can loop back around to find Starbucks/ department stores.
If you want to see some colonial influence and another shady walk...check out Shamian Island. This is where the White Swan Hotel is and all the China adoptitve parents stay. (don't shop here...everything is overpriced)

There are some good natural environment (no cages) zoos in Panyu. Chimelong Night Zoo and others.
Everything is being spiffed up for the Asian Games in November, so GZ is in transition. Lots more subway lines now, so getting around is easy and convenient.

I am not a big SZ fan. No soul. Orlando of China. Amusement parks, shopping malls and not much else.

Dongguan is hard-core Guangdong. Serious eating, drinking, gambling, how much per square-metering and karaoke hostessing going on there.
Anyway...have fun and if you have more specific questions ask away.