To my surprise, visa was the most difficult thing to get here. After booking flights, stay and train/buses etc. I was kind of relaxed as both Thailand and Malaysia have visa on arrival (VoA) or e-Visa facility for Indian passport holders. The catch is that, you need a confirmed flight ticket out of Thailand if you want to get either e-visa or VoA. Since our plan was to exit Thailand via land (the train between Hatyai in Thailand and Padang Besar in Malaysia), we had to get sticker visa for Thailand on our passports and for that we had to give an undertaking explaining what our plan is and why we do not possess confirmed flight tickets out of Thailand. You have to manually visit the application centre (or get it done through a travel agent if that suits you) to do so, and that is why I said "most difficult", as everything else was electronically booked. If you plan to exit Thailand (or any other country for that matter) over land, please be very careful about the eligibility requirements for e-visa and VoA. Malaysia, comparatively, was a cake walk. They have an eNTRI facility (applied and issued online) which allows you 15 days of stay and e-visa for a longer stay as a tourist.
For a quick reference, here is a rough cost breakup:
Flights tickets = approx. INR 32,ooo return for two.
Thailand Visa fee = INR 5600 for two (including visa and service fee).
Malaysia Visa fee = USD 40 for two (approx. INR 3000).
Stay = approx. INR 25,000 (for the whole travel).
Intercity Travel (1 train journey in Thailand and 2 bus journeys in Malaysia) = approx INR 5000.
Food, Drinks, Local travel (taxi, bus, metro, ferry etc.) and activities (entrance fee, SCUBA diving etc.) = approx. INR 50,000.
(INR = Indian Rupee, THB = Thai Baht, RM = Malaysian Ringgit)
Day 1: We landed at Bangkok in the morning, picked sim card (you can book online and pick at the airport) and took the Airport Rail Link to get to the city. After catching up on some sleep, we headed to the Chatuchak weekend Market, and that gave us a glimpse of what was ahead over the next 3 days. It was bustling, packed, extensive, but yet colorful, organised and cheerful. Do not miss out the famous coconut ice cream and sticky rice-mango besides food. It is also the best place to pick souvenirs as well, we found the prices here better than other markets in Bangkok.
Note: The BTS (skytrain) and MRT services are quite good and easy to navigate in Bangkok and so is the bus service. However, if you are two or more than two people, sometimes Grab may work out cheaper. So, to save a few bucks, do run a quick check of the route and approximate cost both by metro (BTS/MRT) and taxi (Grab). Also, no offence to google maps (it is an incredible friend) but do not rely on google maps all the time. If you have a doubt, do cross check with the locals, and they will be more than happy to help you out.
And about food, it seems like the whole of Bangkok loves street food. Food markets, night markets or road-side kiosks serve really delicious food and since a lot of people are working, they pick their quick meals from there. Some of the kiosks do have items on display, so it is best to pick what looks good to you. We found street food to be safe and really cost-effective, though options for vegetarians (if you by chance are) are limited.