When you're in Bangkok or another Thai city, you'll likely be only a few steps from a 7-11, Family Mart or other convenience store, and also not far from a mall or market. 

Life in the malls (and to some degree the market areas)

Most shopping malls have a mix of anchor stores, other global, national, or city chains (like Mampong = Scorpion in English, for music and videos in CD and DVD format, often in legal local editions at bargain prices), opticians, restaurants and food courts. (At food courts, check if you need to get prepaid coupons or a cash card. Unspent balances are refunded as you leave the food court area). Most malls have multi-screen cinemas, which are usually modern and good value. In Bangkok most theatres have original language soundtracks on at least some screens, as well as English subtitles on Thai films.  On weekends, many malls hold promotions which can include lively and loud music, models and Thai TV stars, etc.  Panthip Plaza regularly has events for branded computers, printers, or other gear.  Photo opportunities abound.

In short, shopping malls cater to people who like to eat, drink, and socialize as well as to shop.

A tip: people often ask where to get the best prices on flat-panel TVs, stereos, phones, photo equipment, sporting goods such as prescription diving masks, etc. For most such items, prices are actually identical for the same exact model all over the city. A discounted price found at one outlet is likely to be found at another. Of course, there are many look-almost-alikes. Traps include slightly different digits in a TV model number (which may signify a better screen or electronics, confusing your price comparisons unless you keep detailed shopping notes), to misleading brand names such as Pensonic (a Malaysian brand), to ouright counterfeit merchandise (usually but not always encountered in the "informal economy"). You can usually just shop at the most convenient or reliable locations, and you generally will not pay more for identical items. You may be able to bargain the price down by a few baht in a smaller shop, especially if you are a resident and repeat customer there or you're buying in quantity. But visitors may not save much from such an attempt, especially on internationally branded products. Some sales clerks may voluntarily offer a small discount, especially in department stores like Robinson or Central.

Some markets:

Chatuchak "Weekend" Market (aka JJ or Jatujak) - A visit to Bangkok without having experienced the amazing crazy weekend market is a wasted trip!!! Overflowing with souvenirs, food, clothes, art...  It’s a great experience even for non-shoppers, and really easy to get to on the Skytrain. Open on weekends only. It's about 5 minutes walk from Mo Chit BTS station (exit 1). Exit 2 of MRT station Kamphaeng Phet is actually inside the market. Bring water and wear light, loose clothing because it can get extremely hot and crowded. Warning: there are many pickpockets at Chatuchak. Leave your credit and debit cards in your hotel safe and only bring sufficient money for expected purchases. Keep your wallet securely in an inside pocket or pouch.

Other markets include Pratunam (perhaps the most renowned for inexpensive clothing and accessories), Bobae (the wholesale market where Pratunam and other vendors shop for their merchandise - but you can shop there as well), and night markets scattered around the city and suburbs. The "night markets" catering to tourists in Patpong and along lower Sukhumvit should be taken in context. If there are few local shoppers, what should you think about the authenticity and quality of the merchandise and the prices?

SUAN LUM NIGHT BAZAAR CLOSED DOWN AT THE BEGINNING OF 2011.

Some malls:

CentralWorld - is the self-proclaimed "largest lifestyle shopping complex" in Southeast Asia and Hong Kong. Inside its mammoth-size structure, there is everything you need to enjoy your day: delicious restaurants, 500+ shops, a world-class cinema as well as occasional exciting events. Some shops offer bargain prices for trendy stuff. Of course, some shops or items may not be bargains at all...

Siam Paragon- A new, upmarket mega mall with a department store and many high end boutiques and shops. This is a family destination with something for everyone - Siam Ocean World at the basement should keep the kids busy (but at "stealth dual pricing" with foreigners trapped into paying much more than Thais) while the serious shopper is at work.  Book lovers rejoice: the city's largest Asia Books, and also its largest Books Kinokuniya store, are both in this mall. Get your very detailed ThinkNet "Map Magic" digital atlas of Bangkok, all of Thailand, and other areas here, and in other book stores, to load onto your PC for digital reference.  Hardcopy atlases and maps are also available.  Exit at BTS Siam Station, which leads to level 2 of this mall. Connected with other shopping mall, Discovery, Siam Centre and MBK. So if you want to have some serious shopping, this is a place to consider.  Note, however, that this mall uses "prestige", not value, to tout itself.

Siam Square- Just opposite Siam Centre and Paragon, starts at Soi 5 end at Soi 2. Endless little shops featuring local designers. Products range from great dresses to vintage bags. Shopping heaven for a budget! A favourite of local stylish young people.

Emporium Mall - Still one of the best upmarket malls in Bangkok, is located near Phrom Phong BTS station. High end merchandise, lovely ambience, great options to eat at the top level Food Court and a great movie theatre can be found here as well. Also, worth mentioning: the moderately large and well stocked Books Kinokuniya shop located in this mall. There is a much larger Books Kinokuniya in Siam Paragon.

Mah Boon Krong usually referred to as MBK Center- A hugely popular and often-packed 8-story mall with hundreds of small shops offering low to mid-priced casual wear, shoes, bags, mobile phones and much more, as well as the 4-story Tokyu Department Store. Enter from the Skywalk from National Stadium BTS station (Exit 4), or a short walk from Siam BTS station. This is one of the most renowned shopping spots in Thailand. Highlights: the 4th Floor technology area, a warren of tiny shops focusing on mobile phones, and the 6th floor food court.  Also worth considering - the cinema complex at MBK, surrounded by restaurants (as are cimena complexes in some other malls) and highly popular video game arcade, is worth a visit for the vibe alone - even if you weren't thinking of seeing a film.

Platinum Fashion Mall - A 6-story mall in the Pratunam area, somewhat similar to MBK, with lots of bargains. It features a "retail/wholesale" price structure. You get "retail prices" if you buy only 1 or 2 pieces or "wholesale prices" if you buy 3 pieces or more. Some highlights include a baby & kids clothing store, "O'Fin," near the escalator, and a unique store selling only "white clothes" near 'Black Canyon Coffee'.  Check out the new Zone 1 which is full of shoe and handbags shops, and the top floor food court.

Bangkok Fashion Outlet- This is a must-visit place if you are a fan of discount shopping. It looks a lot like all the other shopping malls, but offer the unbelievable discount, almost up to 90%. The quality of the goods is pretty good. The big part of product originating from Central stores (one of the biggest retailers who have over 23 shopping malls in Thailand). Arranged over four floors it includes both international and Thai brand of men’s, women’s and children’s clothing and accessories, shoes, handbags, watches as well as toiletries, home-ware and even a small selection of electronic items. Fantastic brands that can be found here include Vivienne Tam, Juicy Couture, Love Moschino, British India, Ralph Lauren, Gap, Agnes B, French Connection, Wrangler, Lee, La Coste, etc.

This is their first discount outlet in central Bangkok, and it’s very easy to get to. Located on Silom Road in Jewelry Trade Center building, the closest BTS skytrain station is Surasak, around a five minute walk from the shopping centre. It’s open every day from 11:00 until 20:00.   

Panthip Plaza - This is the place in Bangkok for computer software and hardware, with hundreds of small stands and shops on four levels. It has everything from used computers and parts to new Macs (plus computer accessories, phones, photo equipment, printing services, a food court, an A&W burger shop, and an S&P restaurant and bakery). Some of Panthip Plaza's shops are on the Web (with English language interface or Thai which can be translated by Web translation services). Two of those are IT City and Hardware House International.

There are several other malls focusing on technology around the city.  One that's convenient to mass transit is Fortune Town at Phra Ram 9 MRT station. Just like Panthip, it has dozens of shops with mobile phones, computers and components, cameras and photo gear and lots of accessories. Many feel that Fortune Town, while quite a bit smaller, is less garish and stressful than Panthip Plaza, but also very well stocked.

Panthip plaza 

Baan Baat Community between Chinatown and Golden Mount - a small family community still making monks begging bowls by hand. It's probably one of the last places that practise this ancient trade, which has been nearly wiped out by cheap Chinese machine-made bowls. The neighbourhood is bit hard to find, tucked down an alleyway off Boriphat Road. The bowls are made from eight separate pieces of steel representing the eight spokes of the wheel of dharma, and the eightfold path of Buddhism. The area can be deafening but you can buy a bowl for about 700 Baht, knowing that you own a genuine piece of real Bangkok history. When you strike the side of the bowl it resonates. Since each bowl is hand-made they all feature a unique resonance.

Personal Shopping Assistant
Bangkok has Personal Shopping Assistants. This could be very useful, if you are looking for something off the beaten track or for a bit more difficult to find like Thai furniture. Also, there are two prices for almost everything in Thailand: one for Thai people; one for Farang or foreigners, and a shopping assistant may be able to get you the Thai price.

Monopoly Park Experience Mall
The Mall does not offer a rich shopping experience but what it does offer is quite unique and may appeal to certain travelers and expats in Bangkok. Firsty the Mall is famous for its Dancing Robot restaurant, a strange affair where a robot will serve your meals (japanese barbeque or Grill all you can eat etc. The prices are not too bad and it makes for a unique dining experinece, great for kids too. 
The Monopoly Park Mall also has quite a nice Italian Pizza restaurant downstairs which last time i was there had 2 for one offers. This is an authentic Italian style pizza and pasta place with again great prices compared to other Italian restaurants in Bangkok. Finally for the girls and men that like a quality haircut or colour. Zenred Salon is situated on the second floor and quite famous for its Hair extensions and Brazilian keratin Treatments, plus english speaking stylists, Even Mark Zuckenburg has been there. This little Mall is an odd shaped building and situated just off Rama 3 Road, approx a 10 minute taxi ride from Sathorn or SIlom area of downtown Bangkok. Check Here For maps and more latest features and  info on Monopoly Park Mall