King Of Comedy - Shek O Health Centre

So, community centre where Stephen Chow is based, is actually the Shek O Health Centre. There isn't really a clear shot of it in the film, but pics online show off its distinctive pink paint job, with turquoise detailing, which make it quite easily identifiable, once you realise the whole film takes place in around ten square feet...

The shot where Stephen first arrives at the Heal Centre, shows him walking past the courtyard that sits on the inland side of the centre; the spot where he sets up for the play (thanks to Fritz Lam for the great pics on Picasa).

View on Google Maps

Walking a few paces on takes you to to courtyard area at the front of the centre.

A few paces further take you to the tree and doorway.

Then, heading through that doorway, you'll find yourself at Ben's Back Beach Bar (thanks to camel6433 for the great pics on Panoramio).