It's just common sense to get a Z visa. It's always better to be safe than sorry.

And San Migs actually lives in HK, he probably knows a fair few unfortunate foreigners who have had problems doing the Z-visa run.

I actually know of foreigners who have both succeeded and failed on the HK visa run. One even says its merely a matter of luck, got rejected once, yet successfully applied 2 days later.

The question should be: If you flying over from North America, U.K/Eire, Australia/NZ or wherever, do you really want all that potential hassle?

Sure, you're giving them options, but I would say that they aren't particularly great options.