Buses and share taxis operate between Penang and Hat Yai–probably the easiest way to get from Malaysia to Thailand.
Ordinary trains do not run between Malaysia and Thailand. Diesels from Butterworth terminate at the border town of Padang Besar, from where you can catch the train to Hat Yai.
An express train departs Singapore every morning and arrives in Kuala Lumpur by nightfall. Visitors may overnight in the Malaysian capital or continue north by night train to Butterworth, the terminus for Penang.
The International Express departs Butterworth the following day at 1340 and terminates at the Thai border a few hours later. A Thai train meets this train and takes passengers north to Hat Yai (1640 arrival) and Bangkok (0835 arrival the next day).
The express train connection, however, rarely works. Express trains coming from Malaysia are often late, and Thai trains won't wait for the late trains. The upshot is confusion. To minimize problems, check schedules in Singapore and Kuala Lumpur and take your chances with a train departure from Butterworth, not Kuala Lumpur.
The express train is limited to first and second classes and is somewhat expensive because of supplemental charges for a/c, superior classes, and sleeping berths. Singapore to Bangkok costs US$100 in first-class coach with sleeper and takes 41 hours, including a 10-hour layover in Kuala Lumpur. The second-class fare is US$50 with sleeper and express surcharges.
While the 1,943-km journey from Singapore to Bangkok has romantic appeal–and is far cheaper than the Eastern & Oriental Express–it's a long and exhausting journey best experienced in shorter segments.
Buses and taxis can be taken from the west or east coasts of peninsular Malaysia to destinations within Thailand.
West Coast: Crossing the Thai border by public bus from the west coast can be tricky. Buses on the main highway terminate at Changlun, a small and isolated Malaysian town some 20 km from the border. From Changlun, you must hitchhike the distance to Sadao in southern Thailand–not an easy task.
Travelers going overland can also take a bus or train to Padang Besar, where buses and taxis continue to Hat Yai. You'll need to walk over the railway bridge into Thailand, ignore the unofficial taxis and motorcycle taxis at the end of the span, and continue walking until you reach the 'official' taxis a few hundred meters beyond the end of the bridge. Official taxis carry a posted government permit near the meter. These taxis will take you to Hat Yai with a brief stop for border formalities at Thai immigration.
Problems with land connections via Changlun/Sadao and Padang Besar make direct buses a good idea for most travelers. Direct buses can be booked through travel agents in Penang or picked up at terminals in Penang, Butterworth, and Hat Yai.
East Coast: Public transport on the east coast of peninsular Malaysia is fairly straightforward. Bus 29 departs each hour on the hour from the main bus terminal in Kota Baru and 20 minutes later reaches the Malaysian border town of Rantau Panjang. You then walk across, conduct border formalities with Thai immigration, and catch a tuk tuk for B10 to the train or bus station in Sungai Golok.
Shared taxis are fast, comfortable, and cheap; you won't get stranded at the border waiting for buses or trains. Share taxis–usually a lumbering old Mercedes or antiquated Chevy–wait in Penang at the waterfront taxi stand and in Georgetown downstairs from the bus terminal. Travel agents in Penang can book share taxis, and budget hotels in Penang will arrange pickup directly from your hotel.
Share taxis also leave from the central taxi stand in Kota Baru and reach the border in about 20 minutes. You then walk across to Thai immigration and catch a tuk tuk into beautiful downtown Sungai Golok.