I lived there for a year, and, like everywhere else there are pros and cons.
Pros- much cheaper for rent than HKG. Booze generally cheaper. Lots of entertainment at the casinos, and with more opening, quite a good choice of F and B outlets. Easy to get over the border into China for shopping (furniture a great buy), and sightseeing. Low tax (you end up paying about 6%).
Cons - easy to get cabin fever. It's a very small place, and unless you get away often, you will go nuts. Poor public transport and shortage of taxis. Driving skills are very poor and road infrastructure can't cope with all the expansion. Poor food shopping and not much choice.
I've lived in worse places, but not top of my list to live again.