Bangkok has a rich and rather distinctive architectural history. Thailand has its own distinctive building forms, and since it was never colonized, these have survived largely untainted. Although not colonized, the country was influenced by the west, especially when the kings of Siam started traveling to Europe in the late nineteenth century. They even invited architects from Europe and Great Britain to come to Thailand, where they worked on some of the great monumental palaces of the turn of the twentieth century. A wander around the Grand Palace and the buildings that surround it will give you an idea of the buildings of the era.
The Moorish gingerbread Abhisek Dusit Throne Hall, part of the old Dusit Palace of Vimanmek Mansion.
Modern-day Thais are surprisingly utilitarian in the building needs. Rather plain concrete, steel and glass towers are very much the norm for modern buildings, so you won't find many interesting new structures in the city. Sadly, most contemporary Thais don't put a high value on old buildings. In a “if you've got it, flaunt it” culture, having an old style house implied you were too poor to afford a new one. That attitude began to change a little in the 1990s, when old wooden houses became so rare (and thanks to rampant deforestation, teakwood became hard to come by) that old Thai houses started to become a status symbol. Suddenly, that crazy American Jim Thompson didn't seem so crazy for buying up old Thai houses in the 1960s.
The Jim Thompson house remains one of the best examples of old style houses. Other notable places that you can visit includes the old home of Thai statesman M.R. Kukrit and the modest palace at Suan Pakkard. To see how Thai tastes in housing began to change in the twentieth century, you might visit the Bangkokian Museum, which preserves two houses from the 1920s and 1930s, complete with many original furniture and fittings.
As I mentioned above, Bangkok doesn't have much in the way of modern architecture. There's certainly nothing to rival the other big capitals of Kuala Lumpur and Singapore. One of the few buildings to successfully reflect a post modern sensibility is probably the Buddhadasa Indapanno Archives, also known as Suan Mokkh Bangkok. Set over a lake in one of the large parks of Chatuchak district, the bare concrete, brick and glass structure is a fitting home for this meditation center.