People flew kites and Thai flags, or played traditional ball games while vendors did a brisk business selling anti-Thaksin Shinawatra T-shirts as people poured into Sanam Luang field, the site of previous mass protests.
Special Branch Police said 18,000 people had gathered by 9pm (1400 GMT).
Dej Poomkacha, a former university lecturer, said: "It's been a week of awakening for the common people. If you look at Europe and America, they had revolutions. The Thai people want the same.
"I am very happy, I did not expect this to happen so quickly."
Thaksin announced on Tuesday that he would not accept the post of prime minister when a new parliament convenes, even though his party won a majority of votes in last weekend's election.
But he said he would retain his seat in parliament and keep control of the Thai Rak Thai (TRT) party, which has led his rivals to fear that he will continue to exert a powerful role in government.
"The people realise we have won a victory, but it is not much of a victory to boast about," said 57-year-old monk Ratana Nantho.
"We have a long way to go, [Thaksin] is too cunning - he will try to push his projects through the party.
"It is just like he has not resigned at all," he said.
Amid concerns about the power Thaksin continues to wield, the People's Alliance for Democracy, which led two months of protests to pressure him to resign, plans to lay out new demands to minimise his influence at the rally in central Bangkok.
Many of the activists that joined the alliance have already announced a new campaign, ahead of Senate elections on April 19, to urge the public to vote against candidates with links to Thaksin.
They also say they want stronger checks to rein in the powers of the new prime minister.
Parnthep Pourpongpan, an alliance spokesman, said: "We need to reform the constitution as fast as possible and have a new election.
"We have not finished our duty yet. We still need constitutional reform - that will be a real victory for us."