Just saw Shanghai Express. Marlene Dietrich is, of course, magnificent, and the photography is exquisite. The movie itself is a bit inconsistent—this is a pre-Hayes Code film, meaning its subjects are quite mature, but the ending feels like it's from a conventional romantic comedy. Still, that's only a quibble.
For some idiot reason having to do with copyright, it's hard to buy or rent on DVD. *coughbittorrentcough*
Some trivia: Shanghai Express (1932) - Trivia
Shanghai Lil or Lily has had several incarnations. Perhaps the most famous is from the song that Jimmy Cagney performed in Footlight Parade. That's not on youtube now, but here's a 1933 recording by Gene Kardos & His Orchestra: