Around Chiang Mai: Golden Triangle
The Golden Triangle is quite famous for its black markets. Some foreigners go there to get a quick re-entry stamp on their visas, but most of them go for the cheap DVD's and pirated brand name products.
The ride from Chiang Mai to the Golden Triangle takes around 4-6 hours, depending on your mode of transport, but it's a very scenic road, with many beautiful places to stop along the way.