How do you say thank you in Thai?

khob-kun ขอบคุณ.
khob-kun-Ka, If you are a woman.
khob-kun-Krub, If you are a man.

Moreover, Khob kun is used in general for every and you can say Kob-jai too. It has the same meaning with Khob-kun but can be used with the younger or friends, not suits to use with the elder.
It's something like "kop chai"