The "legitimate" shopping outlets on Sukhumvit road (such as Central World Plaza) were about the same price as in Australia when I was there last year.
You can also claim the 7% sales tax back at the airport. If the purchase price is greater than 2,000 Baht you can ask for a "VAT refund for tourists" receipt, which you can claim back at the airport if you have purchased more than 5,000 Baht of goods (accompanied by the VAT refund receipts from the store).
More info is here: http://www.thaiwaysmagazine.com/tips/vat_refund.html
If you go to the china town area in Bangkok there's a number of markets that sell very cheap watches and electronics - but I wouldn't expect to find genuine products!
Good luck! almost 10 years ago