Shopping in BKK
Don't expect to buy name brands in Bangkok. They're too expensive for most thai's, so they're not popular. Even when you can find stuff, it's older or more expensive than normal. I wouldn't recommend Bangkok, for that kind of shopping.
On the other hand, because of this, bangkok has developed it's own local style and brands, which you will not find anywhere else in the world except for Bangkok. It's still my favourite city to shop in because of this. You just have to know where to look.
Some places to shop in Bangkok.
#1 is the weekend market.
It's huge and you could spend days there and every see everything. There's really only two sections worth checking out though. The USED section (first area you enter when you get off BTS) and the Trendy Section (follow the fashionable kids) i think it's SOI 23 or something. I always have a hard time finding it. Weekend market has the best selection of stuff in Bangkok. This is where most thai kids shop, so the prices are fairly decent. I've been finding it more and more expensive and too busy for my tastes these days though.
#2 is SIAM BTS Area.
There's many malls in Siam, the only "mall" worth checking out is Siam Center IMHO. Most of the trendy thai (jap/korean) stores are there. All the other malls are filled with expensive foreign garbage and generally a waste of time. The boutiques in Siam Center are my favorite. Then across from Siam Paragon, there's rows and rows of out door boutiques, this is another great place to walk around. This group of shops is called Siam Square. There are a bunch of trendy stores in there and the prices are not too bad if you know how to haggle. My favourite is the jean shop which carries KSUBI, Nudie, April 77s. There's a bunch of good shops around there...just do it row by row. Look out for SuperZaap on the second floor. I don't know the name of my favourite favourite store, 2 floors, has a sneaker in a display beside the front door. Second floor has nice selection of international street brands and decent sneakers. Sneaker villa has lots of T-Shirts in the back if you ask them as well. When you walk in, if you walk to the back and checkout the left side, there's some good thai street brands. You can find them at pr3duce too.
MBK is good for knock offs, cell phones and girl shopping.
At night (around 9-10) SIAM becomes a night market of sorts as well. There's a couple good used shoe vendors near the BTS, that show up and sometimes you can get a bargin. Shoes are usually all 400 THB.
#3 Khao Sarn area
There's good (and cheap) shopping around KSR. Not on the main road, but the surrounding alleys and such. It's hard for me to describe exactly where the stores are, but they're there if you looking for them. Lots of good second hand shopping there (especially for girls). There's a designer called Burberry (among others) who you can only find at KSR. Once and a while he makes good shit. You can commission him to make you something special. Nice guy.
There are two other great areas are KSR for second hand hunting. They're not great, but cheap, and if you're in BKK for a while, it's a good way to waste a night and shop.
During the day: Wang Lang (pronounced Wung Lung) market.
Mostly second hand market which sells to the university students around the area. There is also two trendy sections which carry new stuff. This is actually one of my favourite places to shop in BKK, because you can find great stuff, for dirt cheap (50 - 200 THB)
During the night: Sanam Luang Park.
This is the park across the street from KSR. This is a skectchy homeless people park, so be in your toes (it's fine though). Stuff here is dirty cheap and fun to wander around. Good for purses for women. There's a lot of stuff here and I always manage to pick up 1 or 2 things when I'm there. Probably the cheapest place to shop.
#4 Lumphini Night Bazaar
Night Market carries certain brands that you can't find anywhere else. It's a little more expensive than the weekend market, but less crowded and has some great shops if you know how to find them.
The food and beer there on the otherhand is shit, despite what you guide books will tell you. Actually, there's one stall that sells ice cold large changs for 50 THB, so I guess it's not all that bad.
Other worthy mentions
Pantip Computer Mall. If you're a nerd, you'll like this place. It's like 6 floors and prices are good for spare parts among other things.
Platinum mall. It's a cheaper MBK. Guys don't waste your time, this is for girls. Mostly shit, but cheaper than MBK and that's saying a lot.
Siam Paragon. You just have to walk around it. Most huge and fancy mall I've ever been to. Never bought anything there...but worth a wander.
Best place to eat in Bangkok
If you're at KSR, walk towards Burger King, then Walk towards Victory Monument (Aka, that 6 lane road). Once there, look across the street and you'll see a "Pink Bank". Cross the street and walk down that sidestreet that bank is on. Stay on the right side and keep looking down the alleys down the right until you see a jonny walker sign. Walk towards that sign and enter the large house, which is the restaurant. This is my favourite place to eat in Thailand. It's also the spiciest place I've ever eaten. I'll recommend the Som Tam and Issarn Pork neck spicy salad. Fried rice is delicious as well. I'd like to think I was the reason they have an english menu now :D
Check the map. This place is not to be missed.