If you are caught in the middle of Bangkok in the pouring rain, here's what you do.
If there is a mall nearby, which there will be, avoid it. Malls are like convenience stores over there. They are everywhere. These are huge looming ten story malls just waiting to swallow you whole and never let you find your way out. I would go to the same mall ten times in a row and still get lost trying to find that little vietnamese food stall in the dark, gloomy basement food court. It was worth the dizzy feeling of going up and down the escalators searching for the one that would take you down there to get your bun. One way down and no way out. I'd had my fill of malls.
Instead head for the nearby Art and Cultural Center. There you will see they are having free events all night. You will see mimes. They will be funny, as only Thai mimes could be. And oh, will you laugh.
You might see a room full of beanbags that look like boobs. They call this an exhibit. Take off your shoes and stay awhile. It's comfy there.
You will want to wait in eager anticipation to see the contemporary dance. This will be nothing like So You Think You Can Dance's contemporary dances you have come to know and love. You will not be expecting to see a woman dressed in traditional Thai costume sit on the stage and move her fingers, hands and wrists but nothing else set to shrill high pitched music for a straight 15 minutes. You will want to leave and you really should, but you won't. No, you will stay to witness a grown man in a cloth diaper depict a baby being a born. The room will be silent as the baby/man slowly stands to face the audience and then lets out a baby's first cry.
Now this is important. Do not laugh. Even though, it will take all you have in you not to, you must not laugh and in turn lose the respect of all those Thai people. You see, you are the only foreigners in the room, because you got caught in the rain in the middle of Bangkok.
I hope this helps.