Get to the Esplanade. Go out the Back Entrance. There is a huge tent night market there selling every type of foods that you can imagine. You have to go there and experience it.
Its open-air so go only on a good day. And its a night market, so this is not the place for lunch.
Enjoy! Try eating a cricket or a worm while you are there! :-/

This night market is relatively new as compared with other night markets in Bangkok. Easily accessible by MRT and just a short walk through the Esplanade shopping mall. I had read that this was an off-the-beaten-track type of place (a kind of Rot Fai reincarnated) but I bet you that it was not. Clear evidence was seen in numerous selfie phone camera-toting tourists who thronged the place. Much had been said about the place selling retro and non-main stream stuff, but again I found that to be untrue. The food stalls sold basically the same dishes – as of February 2018, the popular dishes were salt-baked grilled fish and BBQ seafood. The goods stalls sold the usual knock-off t-shirts and hand phone accessories. There were numerous pubs, but again in local lingo, they were same-same.

I’m not saying that this was not worth visiting. When the evening weather was forgiving and after a couple of beers, the place was actually quite tolerable. Just know what you are in for.