We did New Year's Eve on the beach at Ao Nang in 2010, and would do it again in a heartbeat. Huge fireworks on the beach followed by copious drinks and beach bonfires after that. Stayed up all night and watched the sunrise with a good friend and the best tasting McMuffin I've ever eaten. (That could have been a result of the prior nights activities though).
Ao Nang is just south of Phuket, in the province of Krabi. It is big enough to be a tone of fun, but small enough to not be real seedy. Also very good diving from there. Check out Ao Nang Scuba and say what's up to Suwat! about 7 years ago