I've found Singapore to be much cheaper than Bangkok for digital cameras - no experience with accessories though.
The legit places to find current prices in BKK are
http://www.shutterphoto.com/spc/index.html and
http://www.bask1.com
The "grey market" shops can be found on Charoenkrung Rd (parallel to Yowarat Road a.k.a. Chinatown). Supposedly the most well-known one is called Charoenkrung Camera Shop and is near the Leng-Neng Yee chinese temple. Diagonally across the crossroads there is an area called Klongthom where the other shops are.