It really depends what you want to do and see. Location does very much matter, as Bangkok traffic can be absolutely horrific. It's not uncommon to get stuck at Asok intersection for 15 minutes or more. Once took my taxi 20 minutes to go 200 or so yards up the soi from Sukhumvit to the Marriott Marquis. This was after midnight.

The two basic choices in terms of location are the river or Sukhumvit (though there are other areas, as well, and Sukhumvit in particular covers a pretty broad swath of ground).

For a first time visitor, it can be fun to stay at the river. Several of the main tourist sites are accessible by riverboat. And many of the very best hotels in Bangkok are there. Among these, the Peninsula often has promotions that bring the price under 8k THB per night.

For our next stay, we're staying first at Grand Hyatt Erawan, which has an excellent central location, and then Sindhorn Kempiski, which is brand new, adjacent to Lumphini park. The Intercontinental also has an excellent, central Sukhumvit, location, as does the Park Hyatt. If pool is important, the Athenee's is very nice (though like virtually all of the Marriott properties, it's getting very mixed reviews lately, due largely to the combination of too-easily achieved promotional status and massively discounted rates for locals).

I stayed at the Conrad on several early visits to Bangkok. It is a business hotel, in a mediocre location, rather a long walk to BTS (skytrain). The best reason to stay there would be to earn or burn Hilton points.