Go to the open air markets. Not all markets are set up or open all the time, so find out when any special markets will be open and be sure to visit. You especially don't want to miss out on the floating market.
Haggle with the marketplace merchants. They will almost always give you your desired price if you hold out long enough.
Shop around. Many merchants carry very similar, if not identical, merchandise. If you don't like one merchant's price, chances are that you can find the item cheaper elsewhere.
Know what you want and how much you want to pay for it, and stick firmly to your decision. Merchants are very good at talking buyers into purchasing items they don't want or paying more than they had intended.
Visit a private tailor's shop if you want custom-made clothing, especially suits. Remember to check around for the best price, though.
Stock up on plenty of Thai silk products, such as robes, ties and tablecloths. These items are inexpensive yet very attractive.
Find a large-scale jewelry manufacturer if you are interested in buying jewelry. The high tourist traffic and on-site production allow them to keep prices low.