There are many ways to go to Malaysia from Thailand and vice versa.
1) By Plane – There are budget airlines available like Airasia but all these are limited to some cities only like Bangkok.
2) By Train – Yes, you can get a train from Thailand to any part of Malaysia (vice versa). Traveling by train would be longer but it’ll be more comfortable since you have an option to get the bunks and therefore sleep.
3) By Bus – Buses are faster than train and cheaper too. Though it’ll be uncomfortable for some people since you’ll be sitting for a long period of time.
4) By Car– If you have your own private car, then it’ll be good. Thai cars can cross Malaysia and vice versa. You just need to register your car at the border with all the registration and important documents with you.
As for our family, we also travel by car to Malaysia. Though it’s a long journey but we find it more convenient than riding the public buses or train. But how we wish we could have a 2009 Dodge Ram and use it for our long drive to Malaysia. I’ve read the dodge 1500 reviews and I find the reviews were good. I personally like this truck too because it’s big, solid, comfortable, nice interior and great performance.