In general, the best prices for new lenses can be found at some of the shops at Fortune Town, such as EC Mall, DigitalNow Shop, and I-Zone.
MBK's smaller photo stores are generally the "buyer beware" kind; and the largest dealer there, Fotofile (one shop on the 3rd floor and one on the 1st floor) has the highest prices I've seen in Bangkok.
Panthip Plaza is okay if you know exactly what you're looking for and what it should cost. But it's generally another "buyer beware" area, usually with poor service as well. Think Sim Lim; Panthip is the Thai version.
For used lenses, Pirom Plaza is an interesting place to explore. There are numerous shops there, shopkeepers are usually helpful, and you can find some fantastic deals on older lenses. But have to know what to look out for when buying a used lens. It's in Chinatown near the Grand De Ville Hotel.
Mall shops such as Big Camera, Power Buy, and Eastbourne are generally trustworthy, but usually sell lenses at or close to the manufacturer's suggested list price.