At first, I would like to remind you, that you are not an immigrant or Thai citizen and you will probably never be. So once in a while you have to leave the country, either to make a new VISA or to visit your family back home.
Most foreigners I know in Thailand stay there only for a limited time like 6 month or so. Others, who run a business or retirees go back home at least for a few weeks during the low season, to visit the family or to make a new Visa.
Now when it comes to the point where you have to buy a ticket you will have to decide where you stay longer in the coming years: In Thailand or your own Country?
You could of course fly to Thailand on a 1 Year Ticket, but those are usually more expensive than an ordinary 3 month ticket.
So, if you stay in Thailand only for let’s say 6 month, buy a 6 month ticket at your home country and make sure you don’t miss the return flight. This tickets are mostly not extendable (if you bought a cheap one).
If you stay in Thailand longer
If you really want to stay in Thailand and go home only a few weeks up to three month, fly to Thailand with a cheep “1 or 3 month promo ticket” and let the return flight float in the sea.
When you want to go home for a short time, then buy a “3 month return ticket” in Thailand, preferable Bangkok. (Thailand to Europe from about 35,000,- Baht)
Thailand on a One Way Ticket?
Note: Theoretically you could fly to Thailand on a One Way Ticket but you are not allowed to enter Thailand without an ongoing or return ticket. Now, the Immigration in Thailand will never check if you have an ongoing ticket or not but the airline abroad will not let you fly due to this immigration law.
However, they will let you fly when the ticket to Thailand is the return flight and you have a valid Visa!
Thailand and the neighboring countries have also become the home of several Budget Airlines like Air Asia or Tiger Airways which offer very cheap flights in and out of Thailand.
So you could easily go to Singapore or Malaysia to make a new Visa but after the new Visa regulations from October 2006 it became difficult to make a new Visa in the neighboring countries. Please read the Visa Page for more info.