We went particularly for the Sai Kung Hoi Arts Festival, but took the kaito (ferry) ride to Sharp Island or Kiu Tsui Chau and Yim Tin Tsai, and did some hiking on both islands.
We found this Frenchy Cafe in Sai Kung Town, and tried their pasties, and they are totally out of this world. You can buy some to eat them as snacks en-route, and make sure you buy some more before leaving Sai Kung.
We bought tickets to go to Sharp Island and Yim Tin Tsai on a kaito (ferry) to see the arts festival from a very friendly volunteer (?).
The first stop was to Sharp Island, and the most important thing to see was the tombolo. On low tide, this land strip connects Sharp Island to Kiu tau, and you can walk over there in about 15 minutes. Just watch your steps because there are lots of stones and boulders to avoid trip and fall. The view of this strip is beautiful. You can climb up a hill on Kiu Tau to go to the other side. I had to return before I got to the top to catch the other kaito to Yim Tin Tsai. It is just too bad.
The most important thing to visit I believe on Yim Tin Tsai is St. Joseph's Chapel, a Catholic Church beautifully renovated. The salt pans are quite interesting too, and make sure you stop and learn some history of salt making.
There is a trail that you can hike while on Yim Tin Tsai, and there are some nice viewpoints, and the trail should take about 45 minutes to complete.
I also like the art displays along the trails on both islands. In my opinion, they are quite whimsical and nice, with explanations to tell the stories of the pieces on display.
Too bad the Sai Kung Hoi Arts Festival had just completed their 3-year run, and they don't know if the funding will be extended for future years.
The only neglect is that there are too many things to see, and there is simply not enough time, I think, to do all the islands (Kau Sai Chau and High Island, in addition to Sharp Island and Yim Tin Tsai) on the same day.
After a day of sightseeing, you may also consider staying for the seafood dinner on its seafood street in Sai Kung Town.