Blue Bay has some of the best wind in China for windsurfing and kitesurfing. If you're just learning the basics, rent a board from one of the luxury hotels in Clearwater Bay, like the Westin.
For professionals, the best wind is off Boundary Island, a secret, unofficial spot for hardcore windsurfers and kitesurfers. The shallow waters and cross-shore winds make for amazing performances. The pros start early, so head to the beach early morning to see them do their thing; you can even join in if you're good enough.