While I was in Hong Kong, I took a ferry to Macau and spent a full day there. I arrived in Macau in the early afternoon and left late in the day the following day.
The adventure to Macau was worthwhile, although the amount of time I spent there was PERFECT.
Could you spend more time in Macau? Absolutely, if you want to party and gamble.
There's enough to keep you busy for a full day.
Ferry
I recommend leaving by ferry early in the morning while staying in Hong Kong and returning later that night. The ferry trip takes one hour via jet ferry and costs $171 HKD each way. Don't fret! That's only $22 USD each way.
I took a ferry from Kowloon (near Tsim Sha Tsui - the mainland not Hong Kong Island) to Taipa (The southern Island of Macau where the biggest casinos and the sports venues are). If you're staying on Hong Kong Island in Wan Chai, Admiralty, or Central you can take the same ferry companies from Central as well.
When taking a ferry to Macau from Hong Kong you have two options of where to leave from. Kowloon or Central. When taking a ferry to Macau you also have two options of where to arrive in Macau. Taipa (see previous paragraph) or Macau Outer Harbor (the true "downtown" of Macau).
Please pay close attention to where you're booking your ferry FROM and TO in BOTH directions!
There are two ferry companies that I'm aware of that offer services to and from Macau all day long, late into the night, and early in the morning. Those companies are Cotai Water Jet and TurboJet. Both are the same $171 HKD price and give you the same comfortability levels.
Be advised that the ferries are pretty fast and the waters can be rough at times. There will be people puking if that's the case. Prepare a good song playlist to drown out the sounds of people throwing up the contents of their stomach.
When arriving by ferry at Taipa or the Outer ferry terminals in Macau, feel free to take a complimentary Casino shuttle bus. They didn't ask for proof of staying at the casino/hotel. I took one from Taipa when I arrived in Macau and to the Outer terminal when leaving. Neither time did I ever get questioned of whether I was staying at the Wynn hotel and casino. I also saw other people get off the busses and walk away.
Macau also has an international airport in Taipa near the Taipa ferry terminal that you can fly into and out of if you aren't coming from Hong Kong.
What To See
Ruins of St. Paul
Seeing the Ruins of St. Paul while in Macau is a must.
It's arguably Macau's most famous landmark. Because of this, expect there to be big crowds when you go to see the landmark. What's left of the 16th-century ruins gives a good insight into Macau's rich and long history. It needs to be noted that the ruins are often incorrectly mentioned as a cathedral.
Yes, you can walk right up to the ruins and even walk through them! The Ruins of St. Paul are a UNESCO World Heritage Site.
Fortaleza do Monte
Just to the right (east) of the Ruins of St. Paul you'll find Fortaleza do Monte. It's a Portuguese fort that lies atop the tallest hill in downtown Macau. This UNESCO World Heritage site is a quick trip up a few flights of stairs. The fort also provides you the best views of Macau.
The fort itself was originally built between 1617-1629 to protect the Portuguese Jesuits and their properties from pirates. It would later be taken over by the Macau Governor to protect Macau.
St. Dominic's Church
St. Dominic's Church is a baroque-style Roman Catholic church that was finished in 1587. This beautiful church is in Macau's most famous square. You'll have absolutely no issues trying to find it.
St. Dominic's was founded by three Spanish Dominican priests and gives great insight into Macau's Spanish and Portuguese past. Make sure when you stumble upon St. Dominic's you go inside and then go around back and go upstairs. There are three more floors you can walk up that have really weird religious artifacts. Nothing fancy, but, definitely worth seeing. Some of the artifacts might creep you out, to be honest.
Much like the Fortaleza do Monte and the Ruins of St. Paul, St. Dominic's Church is a UNESCO World Heritage Site.
Largo do Senado
Largo do Senado is Macau's most famous square. Better known as Senado Square, you'll find many of Macau's UNESCO World Heritage Sites like St. Dominic's Church. You might be in Asia but Senado Square really makes you feel like you're in ancient Europe.
Along Senado Squre you'll also find Macau's best street eateries and shopping. I ended up buying an English soccer jersey at the Adidas store here for just $30 USD!
Chapel of St. Francis Xavier
The Chapel of St. Francis Xavier is off the beaten path in Macau. It's located in a very small town called Coloane. The town is located on the southern most point of Taipa Island and is only split from mainland China by a river. To get to Coloane you'll have to take a public transportation bus. The 45 minute bus ride cost me $6.50 MOP and took me past all the best casinos Macau has to offer.
This chapel was built in 1928 and once contained some of the most sacred Christian relics in Asia. Those relics included the remains of 28 foreign and Japanese priests that were crucified in Nagasaki in 1597 and the remains of Japanese Christians who were killed during the Shimabara rebellion in 1637. This small chapel also contained what is believed to be a bone from the arm of St. Francis Xavier who died in 1552. All these relics have since been transferred to museums and are no longer found at this chapel.
Border With Mainland China
When you arrive in Coloane to check out the small village and the Chapel of St. Francis Xavier, take some time to look across the river at mainland China. The picture above is at the rivers edge but a short walk down a back-road cobblestone street allows you to find a pier near a police station. You can go out on the pier to take photos of China. To get this photo, turn around and wait for a wind gust to put the flags of Macau and China into motion.
Coloane is not the only site in which you can see mainland China. There is a northern entry point to the mainland north of where the Ruins of St. Paul are. Please note that for Americans, you need a special visa to enter China. If you arrive at this building and try to cross they'll send you back. It is at their discretion if they want to jail you so DON'T take your chances.
To obtain a travel visa to China you'll need to visit a Chinese consulate with your passport and very detailed trip plans like where you're staying and what tours you'll be on and what you'll be seeing while in China. You also will need proof you are exiting the country. I've been told Chinese travel visas lasts 30 days or 10 years. The price between the two are so small that you might as well just do the 10 year visa. YOU DO NOT NEED A VISA FOR HONG KONG OR MACAU.