I had a boat for 5 years in Lumut on the Ding Ding river on the west coast
of the Thai Penninsula. I loved the whole area. Malaysia
is the most laid back with immigration you have ever seen. 3 months, go to the boarder for a stamp run and then 3 more months. The thai's are a bit more serious on their immigration and port autority rules.
I sailed there for 5 years and I had no problems with the infamous pirates that are supposed to exist in the Malacca Straits or on any of the islands but that was just my experience, I have heard of problems. I was last there in 2003.
My wife and I were so enamoured with Malaysia that we got married there on Langkawi - great way to thin out the invite list!
Langkawi is a fantastic Island surrounded by dozens of islets and there is a charter group (sunsail? i think) based out of the marina in Kuah, the main city on the island.
Just on this island you can have anything from private coves living off the hook (not so private some times of year) to living in Telaga Harbour and feeling like you are in some posh marina in the Med.
south to Penang and get some of the wildest and most interesting night life in the city or head
out to the other side of the island for peace and quiet.
Head north to Phucket for beach party central or next door to Ko Ta Ra Tao to anchor
with local fisherman.
That is just a tiny part of the west coast of the Thai Penninsula.
As for immigration info - we were based out of Malaysia - either Langkawi or Lumut and when our visa time expired we went back to Malaysia.
Cornell's site has good basic info the the regulations
Here is the Thai site listing all the detailed regulations
Ministry of Foreign Affairs, Kingdom of Thailand
The main thing is to have your visa BEFORE entering! You can get them in Langkawi.