Just one tip about buying too many things to easily carry, you can leave your purchases with the vendor and pick them up when ready to leave. You can easily hire a cart person to take your purcahses to a waiting taxi. I have been with a Thai friend who buys dishes and glassware in large quantity and does this on a regular basis. I used to purchase a large amount of handmade craft items to sell at home, and I always left a large bag with the vendor and then had help getting my purchases to a taxi. A 20 to 40 baht tip for the person doing the hauling for me, very manageable.

I realize the vast majority of tourists are not making such large purchases! But Bill's suggestion of a wheeled bag is a good one.

I also agree with getting there by subway rather than skytrain. The subway stop (the one after Chatuchak Park stop) puts you inside the Chatuchak weekend market. Subway is not nearly as crowded as the skytrain in my experience.

When visiting the weekend market be sure to take the Nancy Chandler map with you as the market is HUGE and when exiting the subway pay attention to where you enter the market, look for some landmarks so you can find the entrance when ready to leave.

Go early...we were there at 9:30. People were opening up, but were willing to sell. Try and leave by 11 ish and you will have a much more enjoyable time. The Nancy Chandler map is a BIG help.....both in getting you to the areas of interest, and in helping you getting out and back to the BTS or subway.