Wan Chai Market has 2 sections - the wet market, which is a cultural experience unto itself, and the local goods market (sometimes referred to as the toy market because of all the toy stores).
Both markets are connected. Combined they cover several roads, however the toy market only covers one road which is easily accessed when you either get off the Tram or exit the MTR (I think Exit A3. I go there on autopilot so don't take much notice). Edit: Ok - looked it up - Tai Yuen St is the name of the lane the toy market is on and A3 is definitely the MTR exit to use.
There are 8 to 10 toy stores lining the market behind the street stalls. Of those only about 4 are worthwhile visiting for Transformers, and one does a mix of fake and real so I am always dubious about recommending it. The rest tend to be legitimate sellers (but I always caution people to check just out of principle). Freeway Toys - the most expensive of the lot - is definitely officially licensed direct from Hasbro to sell Transformers/Star Wars etc as I've had heated discussions with them about their prices and they claim they stick to Hasbro's RRP because if a Hasbro rep comes visiting they could loose their distribution.
Wan Chai also has 2 shopping mall style places to visit with stores that sell a mix of computer/console/anime/bb-gun stuff, and there is also an Animate (which is also in Sino) that sometimes has few items not found in the other stores... They had Tak-Tomy Jetfire for HK$425 which is the cheapest I've seen him so far.
If any of you boys are popping over, let me know and I'm more than happy to show you around if I'm free. I live on HK Island but I do go over to the dark side (aka Kowloon) a fair bit as I deal with Kidslogic and Herocross...