There's no direct train from Shenzhen to Huangshan.You'll have to transfer in Nanchang:
538(深圳至九江) 深圳(ShenZhen)21:03--南昌(NanChang)次日14:46
106(深圳至北京西) 深圳(ShenZhen)18:50--南昌(NanChang)次11:48
590(南昌至南京西)南昌(NanChang)13:22--黄山(HuangShan)22:04
As for other interesting places, there are a lot around, like Yi Xian, Qi xian, One Thousand Island Lake...You can either check out "Destination Guide" or find information here in "Q&A". It's been questioned and answered many times.