I lived in SE Asia on and off for a few years and wondered this question myself. From what I've read, Siam avoided losing total control of their sovereignty through skillful negotiations, territory concessions, diplomatic finesse and good timing, (and probably a lot of luck.) Siam conceded significant portions of its Kingdom at different stages of the European expansion and got into a military scrap with France in the 1893 Franco-Siamese War (where it lost what is now Laos). Ultimately , it served as an effective buffer zone to separate the British Raj to it's west and French Indochina to its east. This skillfull abilty to play both superpowers against each other is a source of great pride for many Thais to this day. The monarchy and ruling class also, wisely, sent many of their children to Europe and the U.S. to be educated and adopted many of the modern technologies available at that time such as medicine, communication, transportation, and defense.

Why they avoided the turbulence of the 20th century probably has alot to do with its independent history during the European colonization period. Its population and national psyche never experienced the same level of prolonged trauma that its subjugated neighbors did. While there were communist insurgencies in certain areas from time to time, the various regimes never lost control, thanks mainly to their ability to leverage the Thai people's reverence to the King, who receives god-like consideration and adoration.