Exploring the markets in Bangkok was definitely a neat way to experience the culture and see the city and I would highly recommend it. We went to several colorful and lively markets including the Taling Chan Floating Market in Bangkok along the Chao Praya River. To get to the floating market we took a longtail boat who waited for us while we shopped and snacked on the local food. We were very adventorous and tried several treats and juices as we explored the little market.
Another great floating market that should be on your list if you have the time is Damnoen Saduak Floating Market outside of Bangkok. This is probably the largest and most popular with tourists, but is a bit of a trip to get there. Which one should you do? It's a trade off; the Damnoen will have better photo opps and be a larger market, but it is a probably a half day to experience versus the smaller, more local markets that are closer to the city. (If I had more time, I would have opted for the Damnoen Saduak Floating Market.)
Taling Chan Floating Market is only open on weekends from 8am – 5pm and is located near Khlong Chak Phra Canal.