A phone which supports GPRS is not difficult to find; it's just a feature.

Do some research on the leading brands, then price compare eBay and Jaymart, which is large retailer here. Jaymart's prices can usually be beaten by ~ 10% at other retail outlets.

I think prices are still cheaper here but with the daily strenthening of the baht aganist the USD, that may not remain the case?

A colleague uses a Nokia 6070 here, which support GPRS. It shows as 4,710 baht at Jaymart but he paid 4,550 at a smaller shop.

You can also buy Thai (1-2-Call) pre-paid SIMs on eBay. Handy if you need to know the number before you depart.