There are increasing reports of travellers being denied entry to Thailand when arriving in-country planning to use the 30 day visa-free policy if they do not possess an air-ticket out of Thailand within the same 30 day period.
The latest report is from the Pong Nam Ron crossing between Cambodia and Thailand from five days ago, where two tourists were denied entry and had to remain in Cambodia.
While technically on the books for years, this regulation has not been enforced in the past and only recently has it started being enforced, albeit haphardardly.
There are now large signs up at Bangkok's international airport explaining that you do need a flight out of the country to be granted the 30 day stay. We're yet to hear a report of someone being refused entry at the airport, but it is probably only a matter of time.
Enforcement of this rule remains inconsistent, but if you're concerned we'd suggest either getting a tourist visa beforehand (good for two months) or buy the cheapest online ticket you can find and get it refunded once you're past immigration.