Broadly speaking, Thailand has three seasons; hot, rainy and cool. But even during the rainy and cool seasons the temperatures usually remain above 25 degrees Centigrade. There are regional variations, but I will try and give as accurate an indication as possible.
Running from March-May, this is the hottest and most humid part of the year. Temperatures in the North and North-East are often hotter than Bangkok during this time of the year.
The rainy season is roughly from June-October. The rains can be intermittent with a couple of hours of heavy downpours followed by blue skies and bright sunshine. The rains tend to hit hardest on the Andaman Coast (i.e. Phuket/Krabi side of Thailand). The Gulf Coast (i.e. Pattaya/Ko Samui) offers more protection from the worst of the weather, but flooding and torrential downpours can still be expected. The same is true of Bangkok with its low lying ground which results in some areas flooding very quickly during the rainy season. This is when accommodation is at its cheapest and the tourist sites at their least crowded. The waterfalls are in full flow and the flowers in full bloom; all in all, I believe it is still a great time to visit Thailand.
The cool season is from November-February and is also the peak of the tourist season. The temperature is still hot, but the humidity is lower and there is often a cooling north-east breeze. The North (e.g. Chiang Mai) and North-East are generally cooler than Bangkok during these months. In the far north and particularly in the mountains around Mae Hong Son, temperatures can drop down to 2 degrees Centigrade at night. In most places though, cool season still means T-shirt and shorts for most Western visitors.
Bangkok: Average daily temperatures throughout the year range from 26-30 degrees Centigrade. Wettest months August-October.
Chiang Mai: Average daily temperatures throughout the year range from 22-30 degrees Centigrade. Wettest months July-September.
Ko Samui: Average daily temperatures throughout the year range from 25-28 degrees Centigrade. Wettest months September-November.
Pattaya: Average daily temperatures throughout the year range from 26-30 degrees Centigrade. Wettest months September-October.
Phuket: Average daily temperatures throughout the year range from 27-29 degrees Centigrade. Wettest months May-October.