Ferries can be taken between Hong Kong and Macau from one of two ferry companies, Turbojet and New World First Ferry. At a minimum they run 7am-8pm, at least that's what I could verify from the New World website, the Turbojet schedule wasn't available at the time of this writing. I say at a minimum because New World offers routes later in the evening, but only on weekends and public holidays. According to my Lonely Planet Guidebook, Turbojet is virtually 24 hours, but with a reduced schedule during early morning hours. During normal hours, departures are approximately every 30 minutes with the trip taking approximately 60 minutes on the water (not immigration/customs delays). Econony tickets for both are between 130-140 HKD ($17-$18 USD) each way with deluxe class a bit less than double that. The 19HKD departure tax is normally included in the price of the tickets.

Tickets can be bought directly from ticket counters or as part of round-trip/hotel/sauna(optional) package deals from travel agencies. These deals are usually preferable for better hotel rates.

Ferry Hong Kong to Macau

Turbojet (http://www.turbojet.com.hk/) 2859-3333
Shun Tak Center
200 Connaught Road, Central/Sheng Wan

New World First Ferry (http://www.nwff.com.hk) 2131-8181
China Ferry Terminal
Canton Road, Tsim Sha Tsui

Also note that you can skip going into Hong Kong proper and take a direct ferry to Macau from the airport itself. Ferries also run from the Macau ferry terminal directly to the Hong Kong airport. I'm not sure about the frequency right now; might be once an hour or once every 90 minutes.