Just google the embassies where you want to apply for a visa. and there on the pages it says very clearly what you need, what is possible and what is not possible. assuming you want to have a legal, traceable visa, you should do that. For the Thai embassy in Laos, for example, it is written that the visa process takes four days and you should definitely make an appointment beforehand because it is very busy there and it is hardly possible to come in between. and you won't believe it if you are in Laos and don't have an appointment you won't get a visa in Laos.
There is no Visa on arrival in Thailand. There is only a Visa free entry for 15 days. Or now for some countries up to 60 days. And this entry is limited by 180 days or 90 days in 6 month depence on your Passport