Tachileik, Burma (Myanmar)
The town of Tachileik (or Tachilek) is in an area of Eastern Burma known as the Shan State. The first thing to grab your attention are the hordes of friendly, but high pressure, tour guides and sellers offering extremely cheap counterfeit goods ranging from Marlboro to Viagra, of varying quality and safety. They have a good understanding of English apart from the word NO. If you do buy anything, be mindful of Thailand's Customs regulations when returning. Checks are rare but they can confiscate any counterfeit goods if they have a mind to, and certain drugs (e.g., diazepam) are illegal in Thailand without a prescription (even though it's available 'over the counter' at certain Thai pharmacies).
Thai currency is accepted everywhere. There's no need to bother with currency exchange.
There are some interesting temples you can visit while you're there. Shwe Dagon Pagoda is on a hillside, within walking distance (although it's quite a steep hill to climb), and affords good views across Tachileik and the Burmese hills on one side and Mae Sai on the other. Otherwise just walk around the town and soak up the uniquely Burmese atmosphere. The sellers all congregate at the entry point so, having left them behind, you'll be left in relative peace to explore the town at your leisure on foot, or, alternatively, you can book a cycle taxi for an hour or so for a 100 - 150 Thai baht that will take you to that temple (Shwe Dagon) and a couple of others close by. They'll offer to take you other places too, included in the price, such as a long-necked Karen village, but there's an entrance fee. Or to a precious stones dealer, (which earns the driver a cut if you buy something).
Just make sure you're back at the border control before 6pm, and well before 4:30pm, if you want to catch the last scheduled bus to Chiangmai, which will get you back around 9 pm (or 6:30 to Chiang Rai).