BTS is Bangkok elevated rapid transit system, which is known as Skytrain. With BTS, you can go to the major areas in Bangkok without facing traffic jams. Currently BTS has 2 main lines: Sukhumvit line and Silom line.
Phaya Thai is a BTS station on Sukhumvit line that is located in Ratchathewi District.
Here is the map for the area around Phaya Thai BTS Station. I have got this map from BTS official website. The area map for the other BTS stations can be found here. To enlarge, click at the map.
What to see around BTS Phaya Thai Station
Phaya Thai is an area of office buildings and hotels. No big shopping mall. You might see many Thai teenagers in the area around because they come to tutor schools at Wannasorn Building, which is close to the station. You might see parents waiting for their children too. Nowadays it is common that Thai students spend their weekend at tutor schools. They study hard in order to get to the universities.
From the map, you will see that this BTS station is an interchange station; it connects with Airport Rail Link which will lead you to Suvarnabhumi Airport.
One worth visiting place in this area is Suan Pakkad Palace. The palace is only 300 meters from the station. It is the place where you can see traditional wooden Thai houses, which are more than 100 years old, and collection of antiquities.
Hope this information helps. Enjoy traveling Bangkok!