I've certainly had excellent service at Man Shing and Wing Shing in Mongkok, Hong Kong. They're recommended on a number of sites on the 'net, and went out of their way to help - they let me try out the lenses (with a supplied 5D, although I'm sure if I'd taken my camera I could have used that), and also took extra care to show me the international warranty cards, and even demonstrate that the serial number on the lens and card matched.
I picked up a Sigma 10-20mm CAF for 225 quid (£291 on OneStop), and a Canon 50mm 1.8 II for 43 quid (£60 on OneStop), both with international warranties. Both stores (they are owned by the same company) do not haggle, so the price you get quoted is the lowest they will sell it for. As you can see from the prices above though, you're getting a pretty fantastic deal!
I would be cautious of buying from a shop I didn't have a recommendation for - in Hong Kong at least, there are a lot of unscrupulous sellers, who will sell you non-warranteed goods with fake warranty forms, sell you the lens but charge you extra for the case/hood/etc (when they should be included), and so on. If you know what you're looking for and are confident, then you might be able to get an even better deal, but be careful - and make sure that what they put in the bag is what you bought, too!
This is a very useful page (scroll down) - it lists the prices which the HK stores sell kit at, so you can see what the price is likely to be. Bear in mind that it's not an official site, and the prices do fluctuate, so it's a guideline rather than a promise. As you can see, most of the prices are from Man Shing, Wing Shing or DC Fever (I don't know why they mis-spell the names - maybe so the camera shops don't find out...)
It's also worth pointing out that Sigma UK don't like honouring non-UK market equipment even with international warranties - they request a VAT receipt, which obviously requires you to have paid VAT on the item, which usually makes the price more expensive than that from the cheaper UK dealers. Some people have had luck in getting them to honour the warranty without a VAT receipt (the legality of their stand is dubious), but bear it in mind. Sigma have a rather predictably over-dramatic PDF on grey-market goods
here.