If you would like to take a Sakon Nakhon bus to Bangkok, Udon Thani, Khon Kaen, or anywhere else in Thailand, the bus station you want is Sakon Nakhon Bus Terminal 2, which is located just down the road from the expat restaurant Chilly Bar. You can purchase a ticket in advance by visiting the bus terminal (which is rarely very busy), or by purchasing one online at NakhonChaiAir.com or BusOnlineTicket.co.th.
The two main bus companies that offer a Sakon Nakhon bus to Bangkok and other provinces is Nakhon Chai Air and Air Udon. Our personal preference is Nakhon Chai Air for long haul destinations like Bangkok, because you have a choice of English movies to watch (but bring your own headphones); a smart phone charger is included in the screen panel; and the seats have excellent reclining ability, but don't interfere with the person sitting behind you.
However, it is worth noting that the aisle between seat rows of a Nakhon Chai Air bus often is very narrow (about 12 inches), which could be hard (if not impossible) for a large tourist to walk down. So, if you (or anyone you are traveling with) is rather large/heavy, it would be a good idea to be among the first in line, so you can get one of the first seats and don't need to walk down the aisle.
In general, the Thai people who travel on Sakon Nakhon buses to Bangkok and other cities are very quiet and polite. Thus the travel experience is a very pleasant one. The roughly 9 hour overnight bus to Bangkok (VIP tickets about 520 baht) is one we have taken many times, and never have we had any issues or complaints. Bus drivers in Thailand have a reputation for sometimes driving too fast and dangerously, but all the bus drivers for both Nakhon Chai Air and Air Udon that we have experienced have been very good.
Please be aware that the other Sakon Nakhon bus terminal, which is located downtown and called the Sakon Nakhon Provincial Transport Station, is only for local travel within Sakon Nakhon. It does not offer buses that travel to other other provinces.
Lastly, if you are looking to catch a bus to a nearby province such as Udon Thani, Mukdahan, or Nakhon Phanom, you don't necessarily have to travel to Bus Terminal 2 to catch a bus. If you live nearby the highway on which the bus travels to these neighboring provinces, you could guesstimate the time when it will be traveling by your area, and then wait at the bus stop on the highway.