Shenzhen isn't exactly known for its French pastries, so I was dubious when I heard that there was a great French bakery in OCT Loft. I soon discovered that Lu Patisserie is the real thing. And it's not just the best bakery in Shenzhen; I've taken people here who have said these are some of the best pastries they've ever had.
Try the Berliner, a doughnut filled with homemade raspberry jam. The caramel tarts (pictured) taste like a crème brûlée in pastry form. The lemon tart is also excellent: The lemon custard filling is quite tart but nicely balanced by the sweet, airy meringue. The bread is also laudable, so buy a couple of loaves to take home. Luckily, the pastries are Parisian, but the prices aren't. I once bought dessert for nine people for just 150RMB (about $25).