Mai Sai is is a very popular destination for Visa runs, used by foreigners in north Thailand. It is also a very popular day-trip destination for Thai tourist because of its abundant shopping opportunities on both sides of the border.
Mai Sai is also the most northern city of Thailand. The shops in Mai Sai are mostly selling food from the region, that is hard to come by in other parts of Thailand and the most comes from Burma. There are also a lot of cheap legal products from China. It is very popular for Thais to buy clothing and blankets etc. in Mai Sai.
Mai Sai and Tachileik are connected by a bridge over the Mekong river. The river is a part of the border between Thailand and Burma, and if you follow the river it is also a part of the border between Thailand and Laos.
Tachileik have almost everything in counterfeit goods from China, Cigarettes, Viagra, kitchenware, brand items, fishing rods, everything in electronics, phones, etc. you name it they have it.
The border control on the Thai side of the border have improved a lot, in recent years, so you can no just walk over the border and bring everything you want.
It is not advisable to buy copy goods in Burma especially not Phones and other electronics, as you get x-rayed when you come back to Thailand.