There are not thirty-six thousand ways to cross from one country to another: air border, land border or maritime border. Each one has its advantages and disadvantages: the plane will be faster than the rest but the bus or boat can save you a lot of money.
One thing we may not have realized before we started working on our world tour is that there are buses almost everywhere! It is a priori very easy to find agencies from large cities.
Be careful for some countries like Myanmar (Burma) there are only 4 entry points by the land border from Thailand. It is necessary to check in advance and check the direction of traffic (which is alternating in Myanmar).