You entered on a 30 day visa exempt (for tourists) by the sound of it. Yes you lose this when you exit. So you need to obtain a 60 day tourist visa from a Thai consulate (which can be extended another 30) if you think you want to stay longer than a month, or fly back in and get another 30 days exemption.
In what sense? Visas, living costs etc? Really depends where you want to live, what you can afford, how long you want to be there, how old you are etc.
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