When you go to the ticket office to get some change you can ask for a free map as well. These maps are really handy for telling you about nearby shopping centres as well as letting you know which station have sky bridges that take you straight inside a shopping centre without going down to street level.
As you can see from this map there are two lines which interchange at Siam Station. For example, if you are going from On Nut to the National Stadium you have to change trains at Siam first. If you want to transfer to the River Express boats then change at Saphan Taksin Station. The BTS Sky Train also connects with the Metro at three stations: Mo Chit, Sala Daeng and Asok.