Trini A.
Yelp
This is the closest 'wet market' for me and one of the places I walk past most days. Sometimes, I don't buy anything at all, but it's on my way home and I enjoy the atmosphere so much I don't try to find side streets to avoid the crowd.
Over the last years, supermarkets have risen in popularity with detriment to traditional markets which it's a shame. If something comes to everybody's minds when thinking of Hong Kong, that's its crowded authentic street markets.
Wan Chai market's main building is located at the lower level of "The Zenith" building but the market has spread outside in the side streets too. Besides vegetables and fresh fruit, meat and fish, you can find all sorts of homecare and clothing stalls selling ladies and men's underwear and t-shirts. There are also a couple of Chinese bakeries.
The market opens up at 6am and closes by 8pm. Obviously, food is fresher in the morning but you'll get the best deals by around 7 to 8, and the food usually remains fresh.
Wan Chai market is mostly frequented by locals, but most vendors speak some English, which may be enough if you are talking about prices and quantities, but don't expect them to explain the origin or type of fish or meat. Price wise, within the market most stalls keep their prices within the same range, but I've noticed they are more expensive than other (not so central) wet markets and even supermarkets.
And you want to know a little secret? Walking around these streets at night it's a complete different experience! The streets look so dim and quiet, you'll think you're somewhere else than Wan Chai.