One of the highlights of my recent holiday was going finding jazz hangouts in Bangkok. My most enjoyable visit was to the Saxophone Pub. It is a pub that features jazz and blues music, with regular live performances. The night that I went (it was a Wednesday) a big band style band played, aptly named the JRP Little Big Band (Facebook Page). The musicians are excellent and the vocalist's has a contagiously happy stage personality, not to mention that he really gets old jazz. I was able to find some videos on YouTube. The video quality and audio is not too good, unfortunately, but I can definitely vouch for their great live performance.
Anyone that enjoys good music and finds him or herself in Bangkok should really try to get to the Saxophone Pub. You can reach it by BTS (Sky train), at Victory Monument station. When I visit Thailand again, this will be my most frequent waterhole.
Another nice place where I enjoyed jazz was at The Living Room, a lounge at the Sheraton Grande Sukhumvit Hotel. They have live jazz performances on Friday and Saturday evenings (maybe other nights too). Food and drinks are a little more pricey than elsewhere, but the performance is free and the classy ambiance is definitely worth it. Dress up a bit and go feel how it feels to live the high life.
I also went to this rustic little place called Brown Sugar. Apparently it is one of the first places in Thailand were one could hear live jazz; it has been going strong since 1985. I can't say that the performance I heard there was that great, but the food was nice and the place have a nice ambiance if you want to hang out with a group of friends.