When you come out of the arrival hall at Udon Thani airport go to the counter "Limousine Service" and get a van for 200 Baht to the border. Go through immigration and take the border bus for 20 Baht. Go trough Laos immigration and take a Songthaew to the consulate.
You can fly directly to Vientiane or the cheaper alternative is to fly to Udon Thani and take a van from there to the border and from the border to the consulate. There is no problem when going by yourself. I got my both ED visas in Vientiane and did it without an agency.
There is also the option of taking the train to Nong Khai. It really depends what you like. If you don't want to waste time - fly.
Wouldn't say that in general. That's also why I asked, what he needs it for. The agent that I used to do the license even recommended me to go to Pattaya and get the paper there - even when I did the test in Bangkok.
Unfortunately that's the truth. I needed it for the driving license. Fortunately I could get a certificate from my embassy.
What do you need it for? Depending on that you could also get it from another immigration just with a hotel address. E.g. in Pattaya, Jomtien, Hua Hin you can book a hotel room, make sure that they register you, get their business card and a confirmation about your stay and head to immigration there. My dad got the certificate in Hua Hin on a tourist visa in 10 minutes after he supplied them with all the documents. He needed it to open a bank account.