In BKK, try Wat Pho for the massage - pay for the fresh sheets and go for both the thai massage and foot reflexology, it was great. At the Sheraton, there was a small hut to the right once you walk to the beach that offered Thai Massage (and a local restaurant right next to it on the beach that was pretty good) - I used the Mandara Spa at the Sheraton, but think the little place on the beach might have been better for the thai massage, it would certainly have been more reasonably priced. It's been mentioned elsewhere on FT.

On the mosquitos, they love me unfortunately so I had spray with me in November that I used each evening. I didn't get bitten but I did notice the bugs enough to make sure I used the spray before going out. I don't know about any CDC warnings though and I didn't get any shots before travelling.