1. Agree with Leslie with some comments - Wat Phra Keo (Emerald Buddha Temple) is in the Grand Palace Complex. Jim Thompson house is interesting but I wouldn't put it on the must see list.

2. I don't have any experience with private tour guides but the concierge at any of the top hotels will be able to help you.

3. A lot of people rave about the Peninsula but I would avoid it totally since the hassle of the location on the "wrong" side of the river is hard to overcome since you still need the road bridges to get to/from the airport - Fri afternoon can be really bad in Bangkok. Shangri-La is often available on Priceline for $75 a night. Another good source of discussion on "luxury hotels" in Bangkok can be found at http://www.flyertalk.com/forum/showthread.php?t=414808 .