I am sure there is info on this somwhere but I have been looking for about an hour with no luck.

I am a Danish citizen here in bkk and my exemt stamp will run out on Friday and I am looking to stay here another 2-3 months. I meant to book a trip to Vientiane with one of the visa run companies tomorrow, but called up the Thai Consulate in Denmark and they told me to go to the immigration office here in bkk before anything else, and see what they can do for me. So my question is:

Is it possible to apply for a tourist visa at an immigration office? If so, which one should I go to?

No you cannot obtain any visa inside Thailand. You may be any to extend your stay, if you have a Thai wife, are over 50 and are studying here. The only way to stay for 2-3 months is to leave Thai and get a visa at an embassy overseas.

It is not possible to apply for a tourist visa here in Thailand. You must go to an embassy or consulate.

Thanks.