IF you are going to apply for the year-long, multi-entry Non-Immigrant Type O-A (Long Stay) visa <- the one that is good for a year, gives you unlimited entry for that year and every entry gets you stamped in for a new year you can ONLY apply at the thai consulates in Chicago, New York, Los Angeles or Washington DC.
As people correctly posted, that visa application requires a police background check, a medical certificate, proof of funds (using a bank account in your country) AND proof of meeting the mandatory health insurance requirements (40K baht out-patient/400K baht in-patient).
Here is an example of the requirements from the thai consulate in New York City
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