Jumping the border - the wide, wet border - between Thailand and Laos qualifies as one of the most interesting immigration processes I have ever experienced. I suggest you try it, as Huay Xai, on the Laos side of the river, is also noted as a great place to begin a slow boat trip down the Mekong River.
Riding the slow boat down the river is one of those once-in-a-lifetime experiences that you'll love, and never, ever want to do again. It is rather slow, after all. Though that does afford plenty of time to take photos and drink frosty Lao Beer.