Do they just tell you it was denied, or do they stamp your passport with a NOTE that you were denied a visa??

That would be very damaging for any future visa application in any other country!

No, Thai Embassies and consulates does NOT stamp "rejected" or similar.

Some other countries does.

If you get rejected by the Immigration bureau, you will be stamped

"Extension of stay not approved. The applicant must leave the Kingdom before [date]"

That means that you must travel out and get a new visa, but you are welcome back again.

Doesn't the second post response conflict with the first answer??  And what if you apply for a visa in a Thai Embassy in another country> Do they still stamp your passport????

Thai Embassies/Consulates does *not* stamp if rejected.

Thai Immigration does stamp if rejected. The latter doesn't matter for future visa references.