Shopping - The best thing that you can do in Bangkok is shop. It is indeed a shopping paradise. Shopping anywhere is cheap but you will get some real dirt cheap stuff in the street markets. Prominent amongst them are the Chatuchak weekend market and Pratunam market. Chatuchak market has around 27 sections with 15000 stalls. You can find anything and everything in the world at one place from handicrafts, toys, clothes, bags, accessories, antique wood carving, local souvenirs, garden decorated plants, trendy fashions, food. Do not forget to carry the market map. It will help you in locating stalls that sell your requirement and save time. Pratunam is a similar street market but smaller than Chatuchak. You can also consider shopping in malls like Central Plaza, MBK, Platinum which are not highly priced.
Floating markets - These markets are located next to body of water and vendors sell stuff like fruits, flowers, trinkets, food from their boats. Visiting a floating is like a half day tour. Most of these tours start early in the morning and last for 4 hours. Most of the best floating markets are located at around 80-90 kms from Bangkok.
Street food - I have a separate blog on Thai food.
Massage parlors - Every street on Bangkok will at least have 2 massage parlors. A traditional Thai massage ranges from 350-400baht for 60 minutes. They also offer neck and shoulder massage, foot massage, oil massage and a variety of other services. I had taken the traditional Thai massage and it was worth every minute.