For those heading up to Bangkok then the most logical direction to head is to Chumphon either to catch a connecting bus or train or by taking a flight with the Nok Air company.
If you are not pushed for time then spending a day or two in Chumphon itself is also an option as there are a few places to visit in the area and some very nice beaches. As Chumphon is on the mainland you'll notice that it's cheaper to stay there, for some cheap accommodation, food and drinks drop into the Farang Bar which is run by Fon, if you are waiting for train, bus or boat connections then you can wait here with a nice meal and a cold drink. The Farang Bar is also a travel agency so you can get your ferry, boat and train tickets there, if you are traveling at a busy time it's perhaps wise to book ahead by contacting them through their website. The other main travel agent in Chumphon that also arranges visa runs, has accommodation, a bar and restaurant and does transfers to the airport is Fame Tour which can sort out whatever you like for tickets etc.
Well why do most people head over to Koh Phangan? Usually to take in a Full Moon Party, or at least a Half or Dark Moon Party, fortunately with all of the different parties over on Koh Phangan you're almost guaranteed to be there whilst one of them is on. If you are planning on going to the Full Moon Party then be aware that most places now require you to book in your accommodation for 4-5 nights minimum especially around Haad Rin. If you don't want to commit to staying over in Koh Phangan for so long be aware that there is a Party Boat which goes over from Koh Tao late afternoon on the day of the Full Moon Party and then you come back the following morning to Koh Tao.
Koh Phangan is a nice place to visit even if you aren't looking to go to the Full Moon Party, the island itself is much larger than Koh Tao and there are lots of nice beaches and resorts especially outside of Haad Rin, we know the guys at Baan Tai Backpackers so we do recommend staying with those guys, be sure to book in advance if you are heading to Koh Phangan around the Full or Dark Moon Parties.
Koh Samui is much larger than Koh Phangan and massively bigger than Koh Tao with many different areas which offer different things. Lamai is a very popular area with people on a budget, it's not as developed as Chaweng, which is often described as Khosan Road on an island, but if you are missing your Burger King, Starbucks and McDonald's then Chaweng may be a good option with some lively nightlife. A couple of personal favourite bars here are the Islander and Legends for great food and music.
If you fancy spoiling yourself a little then head to the Fisherman's Village near Bophut for some nice chill out time and some excellent restaurants, most noteably The Shack, awsome steaks!
Koh Lipe is a small island off the south west of Thailand very close to the Malaysian border, it's just a short ferry ride away from Langkawi. It's a smaller island than Koh Tao and is surrounded by a marine park. Davy Jones Locker Koh Lipe opened up it's a second dive school there in 2010 and now also has a hostel there, which is the first on Koh Lipe paving the way for backpackers to experience this pristine island. So if you've completed your Open Water or Advanced Open Water course whilst here on Koh Tao then you can put it to good use whilst in Koh Lipe. The cost of accommodation is generally very high, so if you are on a budget then checking out Koh Lipe Backpackers Hostel is a good option.