There are a bunch of big boats with AC (like the boat to Ayutthaya) but the smaller long-tail boats (seats 6-8) do not (THB400/hr or US$10). Even if it's really hot outside, the long-tail boats are shaded and the river breeze is cooling and makes a huge difference. If you do it an hour or so before sunset, it's very pretty and it's not as hot/sunny.

The Grand Palace/Wat Phra Kaew/Wat Pho area was uncomfortably warm even in Jan/winter. The humidity is very high and the fact that you're in a courtyard-ish area means there's little wind and that makes it feel even hotter. Standing in the shade helps a lot and I looked like a scurrying rat running from one shaded area to the next Also, I would definitely bring a fanning mechanism ($2 at the markets) on my next trip.

The only respite is your hotel, the ubiquitous shopping malls, taxis and the Skytrain. But Bangkok itself is so alluring you won't mind the (oppressive) heat and humidity