Hat Yai is hot and humid all year, with monsoon rains coming from the northeast (October–December) rather than the southwest. The wet season is more pronounced than in much of Thailand because southern Thailand catches the tail of the northeast monsoon coming off the South China Sea.
February to August is the best time — drier days, manageable heat, and the lowest chance of flash floods. October to early January can see prolonged heavy rain; the city has flooded badly several times in recent decades.
Tet (Chinese New Year) in late January or February is a particularly lively time — Hat Yai's large Sino-Thai community goes all-in with lion dances, dragon parades, and red-lantern displays around the Chinese temples. The vegetarian festival in October (the Tesakan Kin Jay) is also worth catching, with street stalls switching to all-vegetarian menus for nine days.
Note the security situation in the deep south of Thailand (Pattani, Yala, Narathiwat). Hat Yai itself is generally safe, but the city has been targeted by bomb attacks in the past, and travellers should check the latest advice before continuing south of Songkhla.