also @luke not sure where you are from, but for commonwealth citizens it's 90 days free visa exempt stamp into Malaysia, I think other westerners get 30 days free.
@luke link below. Ive used him once based on recommendations by others, March this year, couldnt be more simple. Make sure you take "proof" of a flight out of Thailand and accomodation details - Penang consulate requires it now.
k and thanks for the reply. Flight cost - Penang or KL will probably be your best cost wise. Penang would be my personal recommendation - really nice place, if you want a tourist visa you can pay an agent to do it for you for and not a lot of money. Stay on Chulia Road, hire one (Ive used Jim's before but it's up to you) and while I like KL as well, Penang is cheaper.
Maybe he's in Hat Yai, maybe Udon Thani, maybe Chiang Mai, or maybe you're a dopey [redacted] that thinks that Bangkok is the only place in Thailand perhaps :)