As I searched, there are shows in Pattaya, Patong, Bangkok, I wonder where I should see a show. By the way, what are the general rules revolving around attending a ping pong show? How many bahts should we bring per person?
In Bangkok, the area to find ping pong shows is Patpong. Granted, it's been a while since I was there, so things might have changed, but when you're getting close, there's no escaping the touts trying to force you in.
Before you enter, extremely clearly agree what you're paying to whom and what you get for it in return. Typically, don't pay the tout, pay on entry to, probably, a madam.
Pay any drinks you get as you order them, when you get them. Don't build up a tab.
Be extremely wary of buying drinks for the girls. If you must, be clear as to how much the drinks will cost you.
Here is a writeup of my experience in 2007.