I'm not sure if I need a comma in the following phrases:
Не знаю что сказать.
Не знаю что вам сказать.
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"Не знаю, что вам сказать" is a case where the infinitive occupies the position of an object (a position usually taken by a noun phrase). In this case, you always should surround the sentence with commas, unless there are already other punctuation marks at its boundaries.
"Eсть над чем подумать" is an exception to this rule. It can be found here in paragraph 6, alongside with other exceptions.
I think that these sentences are declared to be exceptions because linguists still argue about their internal structure and cannot say if the embedded sentence "над чем подумать" occupies a position of a complement or if "подумать" and "есть" constitute one verbal group.