Thailand

It doesn't cost much to get a SIM card for your GSM phone, so bring it along, but be aware of two potential problems:

First, it must be compatible with the frequency ranges used in Thailand. It must support the 900 & 1800 MHz pair which is commonly used throughout Europe, Asia, Australia, and Brazil. In North America, it is the 850 & 1900 MHz pair that is used, so any "dual-band" phone sold in the U.S. or Canada will not work in Thailand. If you have a "quad-band" phone, that means it supports both pairs and it will work. Check your phone's manual or look it up online before you leave!

Second, most phones are sold as being locked to one service provider (at least in North America). If you bought it on eBay, then it was probably already unlocked for you (and once unlocked, it should never become locked again). To test if your GSM phone is locked, find a friend who has a different provider than you, and put their SIM card in your phone (it won't hurt it). If it works, your phone is unlocked. If you see an error message or it asks for a password, it's locked (don't try to guess the password, after too many failed attempts your phone may lock up for several hours!).
To get your phone unlocked, you can try asking your provider, but they may refuse or charge you a high fee. Calling around at local cell phone stores is another option but can also be expensive. Look online for a cheaper alternative (many models only require a special code to unlock them), but do your research to make sure you don't get ripped off. A final option is to bring it to Bangkok with you and get it unlocked here - a good place to do this is a mall called MBK.

The Suvarnabhumi (BKK) airport has kiosks for two service providers that will sell you a pre-paid SIM card for 99THB. DTAC (aka Happy) includes 30THB worth of airtime credit in this price, whereas AIS (aka One-2-call) sells airtime separately. As of March 28, 2008, the rate for DTAC was 1THB/minute during the day, and 2THB/minute between 6 - 10pm. The rate for AIS was 3THB for the first minute and 1THB/minute after that. Both have good network coverage, though AIS covers more off-road areas and even has coverage in the Similan islands. Refill cards for either provider are available at 7-11 stores (which are everywhere).

I chose DTAC as it works out to be cheaper, and I had no troubles with it during my trip. I also found out that international calls on DTAC only cost 6BHT/minute, which is really cheap compared to using a hotel phone or payphone.