The bad news is that it can be quite expensive flying to Bangkok, depending on your point of departure; the good news is that once you're there you can shop around for an inexpensive return ticket. A host of international carriers land at Don Muang, Bangkok's major airport terminal. Flights in and out of Thailand are often overbooked so it's imperative that you reconfirm ongoing flights as soon as you arrive. The departure tax on international flights is around US$13 but this is waived if you're in the country for less than 12 hours.
Overland travel from Malaysia is also popular and there are four border crossings between Thailand and Malaysia, two on the west coast, one in the centre and one on the east coast. It's not possible to buy through-fare tickets for rail journeys between Bangkok and Kuala Lumpur or Singapore, unless you ride the luxurious Eastern & Oriental Express, but the trip can be made on express trains via the Thai-Malaysia border at Pedang Besar. The journey usually requires an overnight stop in Butterworth (Malaysia) in order to comfortably make train connections.
The opulent Eastern & Oriental Express does run directly between Bangkok and Singapore, but expect to pay well over US$1000 for the privelege. There are plenty of crossing points between Thailand and Myanmar, Laos or Cambodia, but very few border crossings are made - officially, at least.
It's legal for non-Thai foreigners to cross the Mekong River by ferry between Thailand and Laos at several points along the river.
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