Apart what everyone else has said.
Look out for festivals, and join if possible, eg in April is the Water festival "Songkran" basically a mass public water fight, there are many others I've enjoyed, check if anything co-insides when you are there.
For the fun side at Bangkok, I would check out Nana Plaza and Soi Cowboy (patpong is the famous area, but I enjoyed the other two).
And really, if you go to Thailand and don't check the madness that is Pattaya, (1 hour from Bangkok) then you really are missing out. I've never seen so many bars and clubs in one place ever....it's nuts.
Eat out on the streets late at night and enjoy the surroundings (Bangkok) , Sukhumvit road is good for this, its very long and is lined with markets as well, and probably more western style restaurants than most places if you feel the need. (Nana Plaza and Soi Cowboy are also here)
Get a Thai or any massage, pedicure, facial...why not it's cheap and good.
Hire a motorcycle taxi in Bangkok and enjoy the "ride"...
Watch out for the little kids that sell you gum, beads etc, they are mostly looking to pickpocket...
Try a hands free meal.....
Enjoy