There are many shopping malls in Sanya, the CDF International Duty Free City is the most famous but you can find great (and possibly cheaper) things in other malls too.
Hong Kong
Hong Kong
Since many of you will probably be connecting through Hong Kong, spending a few days there may be a good idea. English is more widely spoken in Hong Kong and there is a lot to do.
Macao
Macao
Macao is China's version of Las Vegas, so if you want to get some gambling in this is the place! It's also a short flight from Hainan and also has a lot of English speakers.