The ferry is the classic route: about 1 hour from Hong Kong's Sheung Wan or Tsim Sha Tsui terminals, around HKD 175 ($22) each way, with sailings every 30 minutes or so until late evening. Ferries land at the Outer Harbour terminal, closest to the old town. Book your return seat in advance on weekends — evening boats back sell out.
The Golden Bus crosses the 55-km Hong Kong–Zhuhai–Macau bridge in about 40 minutes for around HKD 65 ($8), and it runs 24 hours. It's the cheap option and the late-night fallback, and the Macau bridge port sits closer to the Cotai resorts. Door to door it often takes as long as the ferry once you add the transfers to the bridge terminals.
Macau also has its own airport with direct flights from many Asian cities — Bangkok, Singapore, Taipei, Seoul and more. From further away, fly to Hong Kong and cross; the bridge bus also connects directly to Hong Kong's airport, which makes "fly into Hong Kong, fly home from Hong Kong, Macau in the middle" an easy loop.