I was a bit tired from working all week, and traveling down from Shenzhen, so I decided to just hop on the Hong Kong Tram (nicknamed Ding Ding) and explore from the top of a moving vehicle. Starting at Western Market was a good idea, since it's the first/last stop and you're guaranteed a seat.
After an hour of street/people watching, I just hopped off the tram and took a subway over to Sheung Wan/Central. Abe was in Hong Kong earlier this year and stayed in this neighborhood. I got lost looking for the places he suggested, but stumbled upon Jenny Bakery, famous for their cookies. Apparently there's usually a long line and the workers are kind of rude, but at 5pm they were very pleasant and I walked out with two large tins (not gluten-free - a treat for the cast/crew) within 5 minutes.