The night market in Chiang Rai was the best I came across in Thailand and is located between the bus station and Phaholyothin Road in the centre of town. The market consists of many small stands lining the narrow street running between Phaholyothin Road and the bus station and the stalls surround an open air food court. The hill tribes sell an amazing selection of old coins, collector's pieces of needlework and very fine quilted bed spreads. Apart from drinking and eating, this is about all there is to do in the evening in Chiang Rai.
A few kilometer before reaching Mae Sai, there are numerous stall that are colourfully decorated with its wine for sale... Manned by young and pretty country lass, you will not miss them... You can stop by any of the stalls and taste its wine (yes, there is free tasting)... with no obligation to purchase...
What to buy: CEI is famous for its fruit wine.. such as longan wine, strawberry wine and lycee wine... you can also buy dried strawberries...
There is a huge market just next to the Burmese (Myanmur) border.
What to buy: You can get alot of amazing things just about anywhere in Thailand. Real Thai silk, beautiful and intriquite clothing, wrap around skirts are so great and beautiful. Jade and other jewels, chess sets, sandals, purses, bracelets and other jewerly, many -many things. Most of these things are made by Hilltribe people.
What to pay: If you go to any Thai market, be very aware of their buying system. The first price they ask or that you see, is not final. This is a place to start BARTERING from. Be willing to compromise, but start at 1/3 of the asking price - yes, 1/3. They will go down, but you must be willing to go up. Remember that it is $1 USD for 40 Baht (Thai currency). If the seller insists they can't go further and you are unhappy about the price, walk away. I promise you if they really want to sell it, they will negotiate. Also, don't think you're offending them too much, it's part of the buying "game". Don't try to insult them though, they are a poor country in the 10/40 window. Don't mention how "cheap" or "inexpensive" everything is, it offends them - imagine how you'd feel!
the big C department store/hypermart is found everywhere in Thailand, and sells practically everything from food to clothes.