The former British colony returned to Chinese rule in 1997, but has a separate political system that promises Western-style civil liberties.
Five pro-democracy legislators plan to resign later this month, hoping to turn the special elections they will trigger into a referendum on democracy.
Some politicians in Hong Kong's are attempting to reignite the local democracy movement, which has been overshadowed of late by economic issues.
Hong Kong's parliament is partly elected by citizens. A block of of seats is chosen by business and professional groups, giving the council a conservative, pro-China bias.
"I think that it is time for Hong Kong people to directly demonstrate to our leaders in Beijing that we really want 'one man, one vote'," Alan Leong, a legislative councillor, told Al Jazeera.
Al Jazeera's Rob McBride, reporting from Hong Kong, said: "Despite the odds being stacked against them, democratic groups are vowing to turn up the political heat in 2010.
"They want to force Beijing to grant full democracy by the time this city celebrates 2020."
Joseph Fung, one of the participants in Friday's protest, said: "Hong Kong should get democracy sooner. The sophistication, the worldliness of Hong Kong people has already reached the level where universal suffrage can be allowed".
At their peak, pro-democracy protests in Hong Kong drew hundreds of thousands of people, with half a million marching in July 2003 to protest against a national security bill.
The New Year's day pro-democracy rally has now become traditional.