Thailand is a popular destination for travellers from Hong Kong and is easy to reach.
The main full service carriers are Cathay Pacific (reviewed here in economy class), Cathay Dragon to cities other than Bangkok (reviewed here in economy class), Thai (reviewed here in business class and here in economy class) and Hong Kong Airlines. Cathay and Thai have multiple frequencies daily. Be aware that, Thai has now started operating some of its Hong Kong flights under its Thai Smile operation, which alas is a pared back offering.
Other full service carriers offer a direct service between Hong Kong and Bangkok on some days, including EgyptAir, Ethiopian, Royal Jordanian (reviewed here) and Emirates (reviewed here). These carriers often offer competitive prices. Bear in mind that as these fifth freedom flights are tags to other journeys operated only two or three times weekly (Emirates aside, as it is more frequent) delays are harder for the airline to manage, and if you miss your flight you won’t have an alternative on the same carrier for several days in some cases.
Bangkok Airways has a direct service between Hong Kong and Koh Samui.
There is a variety of budget carriers with direct flights on the Bangkok route, including AirAsia (reviewed here). Other routes are served by HK Express. AirAsia uses the old Don Muang airport in Bangkok whereas most others use Suvarnabhumi. Both can be convenient depending on where in the city is your destination. Other budget carriers of varying reliability come and go on this route, but choose carefully so you do not end up out of pocket in the case of cancellation as happened when Orient Thai pulled the route.
With so many direct flights, indirect ones have less appeal. However, they can sometimes be cheaper, especially for example if connecting through southern China to northern Thailand (for example, via Kunming to Chiang Mai on China Eastern) or during holiday times, when despite large capacity, direct flights from Hong Kong are often steeply priced.
The Alternative to Flying: Thailand by Train or Sea
It is possible and fairly straightforward to get from Hong Kong to Thailand by train. We explained the route here. If you prefer the sea route, some cruise ships from Hong Kong stop at Thai ports on the eastern seaboard, mostly Laem Chabang which serves Bangkok but is well outside the city itself. Thailand is usually one stop on a longer itinerary.