Get off at the Siam train station. Take the walkway to the Siam shopping centre. Explore the shops. Walk up to Siam Paragon or MBK if you want to buy clothing, shoes and handbags. If you are in for electronic goods catch a tuk-tuk to Petchaburi Road to Platinum Mall, located in front of Amari Watergate. The whole loop can take a day and you need to be wearing comfortable shoes and ready to walk for hours at length. Stop by to take a quick snack at Somtam Nua ( 392/14 Siam Square Soi 5, Siam Square - 02- 251 4880)
If you want to explore the wholesale market take a ride to Bobae clothing market (488 Bobae Tower, Damrongrak Road, Klong Mahanak, Pomprab, Bangkok 10100).
I am into fine dining: Depending on where you are staying and how far you want to travel in traffic of Bangkok there are a couple of great options for you to explore:
Cabbages & Condoms - Blue Elephant
I love the local authentic taste
Roti Mataba - khinlom Chomsaphan (11/6 Samsan Soi3, Samsan Rd. | Watsampraya Phanakorn, Bangkok, Thailand)
Aw Taw Kaw Market $-- Dusit- Northern Bangkok
Baan Klang Nam $$$ Silom
Ban Khun Mae $ Pathumwan
Banana Leaf Silom
Chote Chitr Banglamphu
Bangkok is a food lovers paradise. If you want to explore local authentic taste and not particular about small cafes and restaurants in not-too-fancy locations, there is a lot to be explored.