Hi Gerardo,
No you don't have to go back to Pakse. There is a road coming back from the southern Bolaven/Attapeu meeting the main highway going north/south south of Pakse before the turn-off to Champasak,
as you can see here. It,s a dirtroad though. 4000 Islands is before the border crossing into Cambodia. There is a big island, Khong Island, and further south 2 smaller islands Don Det and Don Khon (and many more not attened by tourism). You can take a boat from Don Khong to Don Det, or get back on the mainland and cycle. In this case, don't miss the turnoff at Ban Nakasan. Perhaps you can even cross the border by boat to Stung Treng. But it seems that this service is not available anymore since the road had been improved.
As for the cambodian visa: Yes, it is possible to get (tourist-) visa on arrival, and it's no hassle procedure. It will cost you US$ 21. 1$ is stamp fee, but they ask you for $21 straight. You will also be likely to pay $1 stampf fee to stamp you out on the Laos side, more on weekends on public holidays. I almost got away with paying nothing, until some stupid backpackers showed up trying to convince me in front of the official guy that the stamp fee would be official as it is mentioned in the Lonely Planet...
As for Bangkok: I would advise taking the train, as the city is very big. I kinda enjoyed cycling into the city, feeling like a bike messenger going through rush-hour traffic. Was a nice change for the dullness of the stretch from Aranya Prathet to BKK. But I'll probably leave BKK by train this time as well...
BTW: if you do a search for Laos on the German "Laender" section, you should find a guy called Frank who also has been recently cycling there. He has some coverage about the trip on
www.crazyguyonabike.com