Bangkok is a truly diverse city, with everything from old temples, to naughty bar streets. Many people choose to travel right on, but that's a mistake. You should stay for a few days, experience the city, the atmosphere, the street food, temples, take an evening walk on Sukhumvit road, investigating the street marked. Go to MBK for shopping, or visit one of the adventure parks or Art in Paradise, 3D Museum.
Or just go to se the dancers at Erawan Shrine, a small outside pray place, near Siam Square. There's also rooftop restaurants with superb views over the city. or you can just go to the best Thai restaurant in town, Suda on Sukhumvit, soi 16. Cheap place with plastic chairs, but the food it wonderful, do not forget to try the real street food too!