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It may be a bit pricey to get to Thailand by air, but once you're there you can take advantage of bargain-basement flights. Just bear in mind that flights in and out of Thailand are often overbooked so confirm, confirm and reconfirm. Buses are a sterling way to get around - they're fast (often terrifyingly!) air-conditioned and comfy. There are even women-only buses. However, there have been bad reports of the service on buses booked from agencies on Thanon Khao San. If you want to get to Malaysia, there are train services.
The only fault of the trains that ply around Bangkok is slowness - otherwise, they're a delightful option: cheap, comfortable and efficient. Motorbikes are popular, but if you want to take to the roads, even in a car, beware of the anarchic Thai traffic. A cruisier option is to take one of the many forms of taxis - there are cars, rickshaws both of the motorised and the people-powered variety, and small pick-ups.
