Depends on the reason for the denial. But they will be more strict with the entry requirements and ask for proof of funds (20k baht cash) return ticket, proof of accommodation etc.
If you don't have the local currency they will give you a terrible exchange rate. Even if you buy things at the market or in stores. If you do decide to get the local currency forget about changing it back to baht or any other currency for anything more than half of what it's wroth. It was rigged from the start.