We have to take some responsibility for what happened to us in Tachilek, as I later found in the Lonely Planet that border crossing into Thailand is NOT permitted from here.
We bought our Myanmar visa from the Embassy here in Australia, and obtained what we believed to be authority to cross the border into Thailand from here. This was planned from the map only, on our planned route to Chiang Saen, where we had arranged a boat trip into Laos.
When we rocked up to the border, with our backpacks, we were unceremoniously waved away, and nothing we had in our passport or money belt was of any persuasion to the border guards. We were sent to the Tourist Office next door, and again met up with the Myanma guide awaiting the tourists from over the border - thankfully, someone with English. He told us there was no way we would be able to bribe our way across, and talked about the difficulties in general. An expat tried to encourage us to walk across defiantly, assuring us the Thai officials would not care that we had not obtained a stamp out of Myanmar, or try to sneak across the river or get a taxi and send out bags across with someone else. My faith and sprit of adventure was not sufficiently strong to accept any one of these suggestions, so we huffed away, feeling fairly embarrassed and conspicuous. Those feelings gave way to a fair bit of anger and resentment by the end of the day, due to subsequent events!
The refusal caused us serious inconvenience and finanacial loss. We were forced to stay in the town another day, and ended up on a very long flight back to Yangon, due to delays and stops. We landed in Yangon and saw a bright shining star - a Thai Airlines plane! While I did battle with the baggage boys, my companion legged it down to the counter - and the flight was held for their newest Business Class passengers!
After a day or two of cooling off in Bangkok, we flew to Chiang Mai and took a taxi to Chiang Saen - a week behind schedule. The boat service into Laos only left once a week.
In Burma market you may find some vendors who sell forbidden medicine or stuffs like
bear gall, tiger skin, monkey skull (to put cigarette in as decoration/ ashtray) etc.
You had better not buy them. It's illegal and you would receive huge fine or be sent to jail.
If at all possible, I wouldn't take any valuables (like a nice watch or expensive camera) into Tachileik. While the people were all very friendly towards me, it certainly felt much more third world than Thailand, and I doubt there is much protection for tourists who are assaulted and/or robbed. Not that I heard of this ever happening while I was there, just a simple observation.
Be careful not to buy more than 400 cigarettes per person, you are NOT allowed to take more through customs. A friend of mine tried and got caught. The officials kept him in a policestation overnight until someone could get there and pay the 2000 baht bail.