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.
The reason you enter Thailand determines the type of visa you will need. I am guess by the question you will require a tourist visa. The requirements for tourist visa vary depending on passport (nationality). Tourist visa are short lived (60 days or 90 days or something, depends on your nationality). If you are looking to stay longer (years) then you will look for long term visa, those are generally "Non B" or 'Non O' visas. They are issued for: retirement, dependent, work, marriage. The other long term option is the elite visa which starts at/about $15,000 for 5 years.
Good luck
Correction and explanation. "Non B" stand for "Non Immigrant type B" and "Non O" stands for "Non Immigration Type O". The B visa (Non B ) is for business related activities (work Investment etc). The Non O is for something else which includes retirement and marriage... I am less familiar with the Type O, and not currently familiar with a Type B (I may actually be on Non B, but the agent worked it for me so I am pretty clueless).
The larger point is "Non-XXXXX" Is not like it sounds.. It is actually "Non Immigration Type XXXXX"