Ok i hope this helps : this is a collation of information from several people here.(alphabetical order : credits go to Bri , Seekz, Sunny and Vernplum)
Music collection at Siam Discovery Centre:
Next to MBK, should be an easy find. Pretty small range though..
Petchburi Roadgood
drums and percussion, there used to be one shop in
Siam Square
big guitar shop
somewhere at Ratchdewi station area, house of rock
pretty fun and interesting. Walk a huge shitload these few days, been tru about 5-6 music shop already.
Wa Nakhon Kasem which is near Wat Tuk, which is in Chinatown
main congregation of music stores
Werng Nakhonkasern area, Charoenkrung Soi 10:
Congregation of shops-- possibly about 10 of them in the area. Pretty messy place, but worth dropping by.
note by editor stars : the last two entries refer to same place i think.