Drinking alcohol in Thailand, especially if you like Western tipples, is actually comparatively expensive, but still very affordable by Western standards.
Retail sales of alcohol in supermarkets and multi-national convenience stores, are limited to between 11:00-14:00 and 17:00-00:00. Restaurants and bars are not affected, and smaller, non-chain stores rarely observe this rule. 7-Eleven is a stickler for following this rule. However, in certain circumstances these rules are relaxed for alcohol purchases above a particular quantity. For example, if you try to purchase 5 litres of wine during the restricted period, it will not be allowed. However, if you were to purchase, say 10 litres of wine, in the same period then this might be permitted. Convenience stores at gas stations are not permitted to sell alcohol at any time.
There are also occasional days throughout the year when alcohol can't be sold anywhere, even the small mom & pop shops normally adhere to the rules on these days, and most bars and pubs do too (although you can probably find a beer somewhere if you're desperate enough). Upmarket hotel bars and restaurants are probably the only places that are realistically likely to be exempt. Religious holidays and elections are normally the reason for these restrictions.
Western-style beer (เบียร์ bia) is a bit of an upmarket drink in Thailand, with the price of a small bottle hovering between 40 and 100 baht in most pubs, bars and restaurants. Thais like their lagers with relatively high alcohol content (around 6%), as it is designed to be drunk with ice, so the beer in Thailand may pack more of a punch than you are used to. However, if you're from Europe or Australia, you will find this normal.
If you ever find yourself wondering why you can't find any smaller local beer brands in Thailand, it isn't because of lack of demand. The government, according to its Liquor Control Act, only licences breweries that produce over ten million litres of beer yearly. Because setting up a brewery of this capacity would cost over 1 billion baht, the only local beers you can buy are brewed by two large Thai companies: ThaiBev (Chang, Archa) and Boon Rawd Brewery (Singha, Leo). Smaller, independent breweries are legally forbidden from selling their beer in shops, bars and restaurants off the brewery premises, which prevents their growth. To get around this, some "Thai" craft beers are brewed overseas and are thus categorised as "foreign" beers, which are allowed to be sold in shops as normal. While the Thai Finance Ministry argues that such restrictions are necessary to ensure quality control, there is growing pressure in Thailand to remove this restriction on independent breweries.
Imported liquors, wines and beers are widely available but prohibitively priced for the average Thai. A shot of any brand-name liquor is at least 100 baht, a pint of Guinness will set you back at least 200 baht and, thanks to an inexplicable 340% tax, even the cheapest bottle of wine will set you back over 500 baht. In cheaper bars (especially the go-go kind), the content of that familiar bottle of Jack Daniels may be something entirely different.
Thai rice wine (สาโท sato) is actually a beer brewed from glutinous rice, and thus a spiritual cousin of Japanese sake. While traditionally associated with Isaan, it's now sold nationwide under the brand Siam Sato, available in any 7-Eleven at 25 baht for a 0.65L bottle. At 8% alcohol, it's cheap and potent, but you may regret it the next morning! The original style of brewing and serving sato is in earthenware jars called hai, hence the drink's other name lao hai (เหล้าไห). These are served by breaking the seal on the jar, adding water, and drinking immediately with either glasses or, traditionally, with a straw directly from the pot.
The misnamed Thai whisky (lao) refers to a number of liquors. The best known are the infamous Mekhong (แม่โขง Maekhong) brand and its competitor, the sweeter Sang Som (แสงโสม Saengsom), which are both brewed primarily from sugarcane and thus actually rum. Indeed, the only resemblances to whisky are the brown color and high alcohol content, and some people liken the smell to nail polish remover, but the taste is not quite as bad, especially when diluted with cola or soda water. This is also by far the cheapest way to get blotto, as a pocket flask of the stuff (available in any convenience store or supermarket) costs only around 50 baht.
The "real" Thai whisky is lao khao (เหล้าขาว "white liquor"), which is distilled from rice. While commercial versions are available, it's mostly distilled at home as moonshine, in which case it also goes by the name lao theuan ("jungle liquor"). White liquor with herbs added for flavor and medical effect is called ya dong (ยาดอง). Strictly speaking, both are illegal, but nobody seems to mind very much, especially when hill-tribe-trekking in the North you're likely to be invited to sample some, and it's polite to at least take a sip.