Bangkok is the arrival point for just about every visitor to Thailand. If you are travelling on from there to other Thai cities by air and have pre-booked in your home country then it will most likely be by Thai Airways. While not unreasonably priced by international standards, you can still fly for half the cost if you are prepared to collect your luggage and re-check at Bangkok Airport.
This is made possible by the recent emergence of several low cost airlines aimed mainly at the domestic Thai traveller. The quality of the service is pretty good and the flights are amazing value at roughly 40 US dollars whichever city you head to. For people wishing to connect with international flights, these airlines may also offer a more convenient schedule that will prevent you having to hang around Bangkok Airport any longer than necessary.
Advance bookings may be difficult through international travel agents but they can be made at the company websites : Nok Air, One Two Go and Air Asia.
If you don’t want to plan your movements ahead of time then the good news is that you can usually get seats by just turning up on the day of travel though this not such a good idea in the high season or during Thai public holidays (and they have a lot of them).
For Thailand visitors on a tight budget or who maybe just have time to spare, you can travel even cheaper by using the country's road and rail transport. The rail service runs to most major towns and cities (connections by bus will be needed for beach resorts) and can be a leisurely and comfortable way to take in the sights. The service to Chiang Mai is especially recommended for comfort and value. The Orient Express its not, but if 2 people are travelling you get an air conditioned cabin with sink, powerpoints and large comfortable bunks for about 40 US dollars total.
If travelling at the lowest cost possible is your priority then there are no shortage of intercity buses. They can be broken down into two categories : those with, and those without air-conditioning. The aircon buses are usually modern and very reasonably priced while the non-aircon are dirt cheap and can be recommended only to the most resilient tourists but for those who are hardy enough, these buses allow you to really experience a taste of Thai life.
Useful Links -
Nok Air : Thai domestic flight bookings
Air Asia : Thai domestic flight bookings
One Two Go : Thai domestic flight bookings Note : resumed operations Jan 2009 after a serious air crash in Phuket (Sep. 2007). Further information regarding this airline can be found at Wikipedia.
State Railway of Thailand : rail network information and timetables