ATM machines are widely available everywhere in Bangkok (and are Linked to CIRRUS, MAESTRO, PLUS, DISCOVER international ATM consortiums) and they accept most cards, this is also the best way to change your money, bring your local bank card and get the money in Thailand from an ATM (don't change at your hotel). Tip: There are also 100 Baht notes in the ATM, take for example 2900 Baht out and you have small money straight away.
They charge a minimal amount for an atm withdrawal (about 120 baht) irregardless of amount withdrawn so I suggest you withdraw more than 3,000 Baht or more rather than just withdraw 500-1,000 baht per transaction.
Fondest memory: most ATM's here accept international consortiums but the average cost per withdrawal is charged a 150 baht per transaction.
hopefully not too late w/ this response but at the bangkok airport (Suvarnabhumi), there is a currency exchange w/ two ATM machines next to it. they are located near the elevators after you exit the baggage claim on the first floor. you'll see transportation hawkers. go beyond them and you'll see an elevator. at the elevator, to the right, you'll see the currency exchange office and the ATMs. i think they are Krung Thai Bank or kbb and siam commercial bank.
take the max amount of $$ you can out of the ATM and try to exchange one of the large denominations into a smaller amount for the cab fare.
Although ATM machines are to be found all over, the transaction is always in local currency. BE PREPARED. For example, do not go up to an ATM and think you'd like to withdraw $500 worth of local currency. You first must know the amount in local currency that $500 will buy. I always carry a currency cheat sheet when travelling. In addition to ATM transactions, it's also easier to bargain and make purchases.
For a cheat sheet go to to http://www.oanda.com/cgi/convert/cheatsheet
Favorite thing: There are several Banks at the airport, easy to find, witch have quite good exchange rates (i didn´t see a difference to the rates in Bangkok). There are ATM´s as well.