The most challenging thing to do in Bangkok is probably driving. It is not as bad as some people want us to believe. There are rules, not exactly the ones that are written in the manual, but there are rules and once you've manage to lean and understand them things become much more easier and, in some way, more logical.
I believe it is much more easy to learn to drive in Bangkok if you come from a Latin country. The coexistence of total disrespect for the official code and the existence of generally accepted "grey" rules is something that Thailand and Latin countries have in common.