changing default "other language" fonts

I am a Thai mac user. I am pretty ok with Lucilda
grande as my default system fonts. But when I switch
to thai keyboard layout, the default Thai font for it
is quite bad. Is there anyway to change this font? (I
don't even know what font it is.)

I think this font is Lucida Grande (which includes Thai as well as Hebrew, Cyrillic, and Latin). Surely you can tell by opening the Font Panel and switching among them. I think the only way you can choose a different default font is if the particular app you are using has a setting for that. For instance, Nisus Writer Express has preferences that tie keyboard layouts to fonts.

so whenever I switch to thai keyboard, the font will
always be lucida grande?

That's the defaut (unless you are using an app that lets you bind fonts to keyboard layouts or to "styles" defined in your document). The other Thai fonts available in OS X which you can choose manually via the fonts panel are Ayuthaya, Krungthep, Thonburi, Silom, Sathu.