in the past I used 12go. They have an office across the street. Somebody runs over to the station and buys the tickets for you... Not great for last minute but otherwise pretty good.
Pretty sure there will be no Thai Embassy, in all of Thailand.
I know there is a US Embassy, in Bangkok, off of wireless road. I have seen some other embassies near there as well. The Pakistan embassy is near Nana Station.. which I also found a little humorous. I know there is at least 1 Thai embassy in Washington DC. I have visited a few others in other countries. Seoul, Melbourne, Yagoon, and on and on.