Slow boat will be the best and most comfortable option for you to get to Vientiane, however keep in mind that it leaves only a few times a week at about 9.30 and it takes min. 8 hrs of travelling. Boats leave from the port (built with Australian help) in the middle of Pak Lay and you'll land at Kao Liew boat/ferry station which is in suburb, several kms from Vientiane center. Before boarding in Pak Lay you're required to show your passport or ID by the officer next to the ticket window. They'll take your name and contact and you'll be required to pay minimal fee - something like 2000 KIP for their 'service'. The same procedure will repeat after landing in Kaoliew - again show your passport and pay the fee for 'immigration'. There are very steep and dangerous stairs in Ko Lieu on the bank of Mekong - be careful when you're climbing up from the boat.
IMPORTANT UPDATE: The boat rides on Mekong have all been recently discontinued so taking a bus seems now only available option.
To travel by speed boat to Kaoliew you'll need to go to speed boat station by tuk-tuk or walking but it's bit far from the main districts - it's in the Southern part of the town. Before boarding you'll need to go through some kind of 'immigration' (and the same procedure if you're landing) where they take your name and address in the notebook. You'll be asked for your passport or ID and they'll give it right back. Speed boat will take you min. 4 hrs to Vientiane, precisely to Kaoliew boat station in the suburb which is several kms from the town.
It's advised that you take ear-plugs with you as the noise in the back of the boat is terrible! Sun block, glasses and long sleeves will be good if you'd want to protect yourself from being sun burned and red-eyed because there's no such thing like wind screen or roof on the boat.
The price in 2009: 150 000 KIP for a local, or 200 000 KIP for you if you've foreign passport.
If you want to go to Sayabouly capital you'll need to take pick up or songthaew from the pick up station. It's 2 km from the town to the North, by the main road to Saya. The price is 45000 KIP (in 2009) per person and it takes between 4 - 6 hours to get there. The road is not paved and you'll be covered by dust in matter of minutes or seconds, so take something to cover your mouth and nose and hair like locals do. The road passes some nice landscapes and villages and maybe you'd like to get off somewhere between if you have time and don't mind staying in very basic accomodation and eating local foods.
You'll probbaly take a local bus which leaves daily in the mornings - if there won't be the slow boat because it doesn't run every day. However, bus ride will be less comfortable, sometimes slower than boat, more dusty - before you get to Hin Heup to Rd 13 you'll already eat a lot of dust by then as the road isn't paved (windows cannot get closed sometimes or people don't close them). These buses are old, sometimes they'll brake in the middle of nowhere and you'll have to wait some time to fix the problem. They will take everything in the bus, so you'll have to make your way to the chair through rice bags, foods, animals etc...The road between PL and HH isn't frequented by traffic yet and you'll be driving some part of the way over the Mekong and through mountains and then finally pass Mekong before Pak Lay by the ferry.
It can take from min. 8 hrs to get to Vientiane or even as long as 11 hrs.
If you arrived by bus from Vientiane or pick up from Sayabouly, you'll find yourself in the outskirts of Pak Lay (it is about 3 km from center to pick-up station). To get to the centre you'll probably want to take tuk-tuk (you can share with other people) or walk (but if you're having big bags you'll probably get tired fast, especially after hours long ride on old bus through hills and dust). Paying about 10 000 KIP will probably take you anywhere.
Thongmyxay is the district by the Thai border which takes about 1,5-2,5 hours driving by the pick up from Pak Lay. Unfortunatelly that's the only transport option (privately based) to get there so far and you'll be sitting in the open air if you're not the first customer. This means you'll be exposed to dust and other weather conditions but also have the best views throughout the landscape (which is at some points fantastic) - but don't expect much comfortable drive. It's is usually only one pick up to Thongmyxay per day, leaving as they get enough costumers - around 2 pm. You'll find it at the market by the tractor parking place - ask around. Negotiate price directly with the driver, but expect to pay at least around 35 000 KIP.