I lived in SZ for 6mths a while back and now still travel over there regularly, I found it pretty comfortable. I had an apartment in Honey Lake close to the Che Gong Miao MTR station, this was convenient to travel to Futian daily. As I took the wife and kids I decided to get an apartment in a complex with ~10 buildings surrounding a park area and pool (then cost RMB4,500). Honey Lake is a nice area with a Sam's Club (Walmart), Papa John's pizza, McD's, KFC (they are prevalent in China), B&Q, etc. thought there is not a large Expat contingent.
I also looked at apartments in Shi Jie Zhi Chuang (window of the world), prices were a little cheaper, that area also has a Walmart and considerably more foreigners. But the MTR ride would be a little longer
As people have mentioned many foreigners live in Shekou (though honestly I believe this is changing), however I would not suggest that unless you fancy a 1hr or more commute per day.. They are extending the MTR all the way to Shekou but don't think it is planned to open any time soon… Taxi's are cheap and fairly safe so just taxi down to that area when you have the urge, evenings &/or weekends (I used to go down somewhat regularly to have a beer in the Irish bar or a Brazilian Barbeque). The place with the big boat, bars & restaurants is called "SeaWorld".
If working in Futian (close to exhibition center), another new and decent area to look at is close to Coco Park, this is a new shopping center/mall (with everything that entails) but they have a couple of outdoor bar's/restaurants and it is right on an MTR stop (Gou Wu Gong Yuan).. apartment prices right here are pretty steep (~RMB7000).. Though a block away prices quickly drop.. I regularly stay in a hotel in this area.
There is another new shopping center closer to LoWu, though the name escapes me right now.. it has a nice outdoor area full of bars out front, no idea of prices but again a pretty modern new area.
If possible I would suggest trying to get close to one of the newer shopping centers/malls, if you do it will offer the convenience of many international branded stores (StarBucks, McD, KFC, Pizza Hut, Haagendazs, Walmart?, etc.) and a safer feeling environment. Also suggest trying to get close to an MTR station..
Being a Brit, one of the greatest things about SZ is HK is only 1hr away.. So if and when you need to get away from it all or need some essentials you can't find in China it's quick and in-expensive.