About 2,000 of them then besieged the city's police headquarters.
Police fired what appeared to be tear gas on the crowds, and they dispersed shortly afterwards. One correspondent reported seeing several protesters vomiting.
Demonstrations are also said to have taken place at two major airports in the south of the country.
At Phuket airport, tourists shut in by protesters had to struggle over the perimeter fence (pic courtesy of BBC reader Simon Luttrell)
Phuket and Krabi airports have closed, and there were reports of blockades in Hat Yai. Reports suggested protesters were planning to mount similar actions at Chiang Mai and Chiang Rai in the north.
Some rail workers have gone on strike in support of the protests, and to demand better work conditions, disrupting services on lines from Bangkok to the country's north-east.
And union leaders - including those from flagship airline Thai Airways - have called for workers to join in the stoppage.
Rumours of an impending coup have been circulating in Thailand throughout the week, our correspondent says.
Sept 2006: Bloodless coup by military sees PM Thaksin Shinawatra removed from office
April 2007: New military-drafted constitution approved
Dec 2007: General election won by People Power Party (PPP), seen as reincarnation of Thaksin's now banned Thai Rak Thai party
Jan 2008: Samak Sundaravej chosen as PM
Feb 2008: Thaksin returns from exile
May 2008: PAD protests against Samak begin
July 2008: Thaksin goes on trial for corruption; his wife is found guilty of fraud. By mid-August the family has fled to the UK
August 2008: PAD protests escalate
For three days Gen Anupong has deliberately kept his forces above the fray.
But on Friday he decided it was time to step in - insisting the military would not mount a coup, but also calling on the government to negotiate with protesters.
"The army will not stage a coup. The political crisis should be resolved by political means," he said, according to AP news agency.
The military's involvement is an indication of the seriousness of the current situation - and correspondents say that some senior military officers are believed to be pressing the prime minister to offer his resignation.
This crisis began on Tuesday, when thousands of PAD supporters took to the streets of Bangkok and forced their way into government buildings and a state TV station.
Nine PAD leaders now face charges of insurrection for these actions, a crime that could potentially carry the death penalty.
The PAD was originally formed in the months before the 2006 coup, to demand Mr Thaksin's resignation. It has re-emerged now that the country is being led by his former ally Mr Samak.
It has a passionate following in various parts of the country, especially Bangkok, and some powerful backers among the elite, our correspondent says.
But it has little support in most of rural Thailand, which voted strongly for Prime Minister Samak, and Mr Thaksin before him.
This page is best viewed in an up-to-date web browser with style sheets (CSS) enabled. While you will be able to view the content of this page in your current browser, you will not be able to get the full visual experience. Please consider upgrading your browser software or enabling style sheets (CSS) if you are able to do so.