For many people, going to a full moon party in Thailand is a necessary part of any South East Asian adventure. While the experience is not particularly authentic or related to Thai culture, it is a unique one.
What you should know:
1. Koh Pha Ngan is a big island and you have many options when it comes to accomodation. 
Depending on whether or not you have a specific place you would like to stay, you don’t necessarily have to arrive 3 to 4 days in advance like most people believe. If you have the time though, the general consensus is that the couple days leading up to full moon are actually better than the actual full moon night. Hat Rin is the heart of the action, and if all you want is to party hard and have a bed to crash in, this locale is for you. If you prefer a mixed bag I would recommend staying at one of the other beaches (Hat Rin beach pretty much disappears when the tide is in) near Hat Rin. Ban Khai and Ban Tai to the west and Hat Thian to the east, are all close to the action, but removed enough to afford a little peace during the day. If you want beauty and isolation, and only plan on going into Hat Rin for the full moon night, then I recommend either Ao Mae Hat in the Northwest, or Ao Thong Nai Pan Noi in the Northeast. Both of these beaches are good for swimming and snorkeling, but be prepared for a 30 minute tuk tuk ride to get to Hat Rin
2. Stories of drugs and theft are common around the full moon, but if you’re smart you shouldn’t run into any problems. Decide ahead of time what your plan is; if all you want to do is get wasted, then don’t bring along your camera or anything you would be afraid to lose. Theft at full moon parties is opportunistic, if you pass out on the beach drunk you will probably be robbed, but if you are aware of your surroundings it’s unlikely anyone will steal from you by force. These kinds of parties always attract drugs and drug users, the same rules apply here as anywhere else. Don’t leave drinks lying around at bars and watch while they’re being made, this is actually quite easy here given that the drinks of choice are made-to-order buckets sold beachside. Do be aware though that they’re almost always made with Redbull, and Thai Redbull is not the same as what you find in North America, Europe or Australasia, it actually has speed in it.
3. The same rules of logic apply to clothing, don’t wear anything you don’t want ruined (although I’m not sure why you would bring expensive clothes to South East Asia in the first place). All over Hat Rin you’ll find Full Moon Party 2011 clothing in various neon colours and with all the neon body paint you can turn a cheap t-shirt into a good souvenir, though any old shirt will do you fine.
If you would like you can read about my experience at a full moon party