Best one in HK IMO is Tai Hing. Although I haven't been back since it turned into a huge chain restaurant, so I'm not sure if it's still good. Last time I went, it was really good
btw I see a lot of people listing bubble tea places... which kind are you talking about when you say 'milk tea'? For me, that has always meant the HK kind, and the Taiwanese kind was 'bubble tea' even without the bubbles. For me, it means it's just a powdered tea drink, and not very good.