@Cal *****
Yes, exactly. They will put an entry stamp in your passport each time you enter Thailand, but the visa itself will be the PDF document. If you get it in Bangkok, then the visa itself will be in your passport, and you'll also still get an entry stamp each time.
Honestly the biggest difference between the two is that you are going to pay more money for the visa from the embassy. In Thailand it's exactly 50,000 baht that you pay directly to the immigration office. If you get it from the embassy, they charge a few hundred dollars more.