Trains in (Western) Europe are roughly classed into faster and slower categories. The faster trains are called InterCity (IC) or EuroCity (EC) trains, and run between 200 or so large European cities. As better rails are laid in Eastern Europe, IC and EC routes are slowly being added to this region as well. (There are also high-speed national train systems, such as the TGV in France or the ICE in Germany, but they are mostly confined to routes within that country).
EC or IC trains are faster, tend to stop in fewer places, travel long distrances, but cost an extra fee of around $5 (this varies from country to country). If you need to travel a long ways in a hurry, consider an IC/EC, since the small fee is minimal compared to the time saved.
Large cities very often have more than one train station. Know which station you arrive/depart at. I've spent long hours looking for friends in stations where they never actually arrived.
If you'll be travelling long distances,try to find an overnight train and get a sleeping berth. The cost is comparable to a youth hostel in Germany. That way you don't lose a whole day sitting in a cramped compartment watching the countries fly by outside a pane of glass. Sleeping berths come in several flavors, depending on how much cash your wallet is willing to cough up.
The other cheaper alternative is to "sleep" in a train compartment. I've had varying amounts of success doing this. If the compartment is full, you may as well forget about sleeping much unless you're good at doing it sitting up. If you're lucky enough to be riding a German train and have an empty compartment, you can pull the seat bottoms together to make a relatively comfortable bed. Unfortunately not all European trains offer this comfort. Sleeping in a Czech train hits the other end of the comfort scale; not only do they cram 8 people into the standard compartment (most other countries only have six seats in a compartment), but their seats are made of slick 60's vinyl, which is perfect for sliding off of when the train skids to an abrupt halt.
If you have the room and plan to do overnight traveling on trains, take a compact, lightweight sleeping bag with you. It drastically increases your chances of getting a decent night's sleep (and can even make those Czech seats bearable). After all, there's no bigger drag than walking around some beautiful foreign city if you're too exhausted to enjoy it.
Women traveling alone should take precautions when traveling at night. Try to find a compartment with another woman. Keep in mind that you can't lock the doors to a compartment.
If you'll be sleeping at night, try to clip your bags to the overhead luggage rack. Then at least a potential thief can't simply grab your bags off the shelf. Get a small luggage lock for more security. I personally sleep with my bags under my head.
Bring the basic amenities of life with you onto the train: toilet paper, drinks, something to munch on. There isn't always the opportunity to buy anything in the train, and even if you can it will cost you a small fortune.
Try to avoid sleeping in train stations if you can. They really aren't horribly safe, despite the fact that Europe is a heck of a lot safer than the US. If you have no other choice, though (missed the last train from Goatsville and there isn't a hotel? ), find some other nice foreign types and stay together (that is, if there are any).
All the scum types of the earth seem to gravitate to train stations. Do not try to spend the night there. Always watch your belongings.
It's not always a good idea to buy your ticket in the train. In some countries it is possible, while in others it carries a fine. In Germany a conductor can charge you extra, or even double, if they think you had time to get it outside the train. In a few trains it is not possible to but your ticket in the train at all, and carry a stiff penalty. However, if you are traveling very early in the morning and the ticket counters are not yet open, then buying a ticket onboard is the usual solution.
If you are under 26 you may be eligible for a discounted ticket, depending on where you are going and which country you are in. Always ask if there is a discount for students or young people. They are often called BIJ Tickets, Twen Tickets or Transalpino tickets.
It is possible that the direct train may not be the fastest! I traveled once from Stuttgart to Budapest. The direct train would have left Stuttgart at 6.00am, and arrived in Budapest at 8.00 pm. I however, left at 8.30 on a different route, changed trains 6 times, and in Vienna got onto the very train that had left Stuttgart at 6.00 am, having made up the 2.5 hrs. difference!
Don't expect the people who work at ticket counters to understand English. In fact, it's something I've rarely encountered. If you want to buy a ticket, one easy way to do it is to write down the name of the town you are in, point an arrow to the name of the town you want to go to, draw a clock and a question mark next to it (if you also need to know the time), or the time you want to leave. Yes, it can make a difference what time the train leaves as to how much the ticket is. Hopefully, whoever is working will understand your pantomime and write down the amount the ticket costs for you. Remember: we're guests in their country.
England has a absolutely bewildering ticket system for their trains. Travelling an hour earlier or later can make a huge difference in ticket price. Also, buying a round trip ticket (or return as they say) is only slightly more expensive than buying a one-way ticket ( or single ticket). It's also important whether you return the same day, on the weekend, etc. Not to mention the fact that British trains are exorbitantly expensive. If you plan on traveling in the UK, remember that Eurrail is NOT valid there. Consider either buying a rail pass or using their excellent bus system. A train ticket from London to Glasglow, Scotland runs well over £70 (I'm not sure of the actual price) while an overnight bus, round trip, is only £20.
If you buy an open ticket to a destination (that is, there are no time restrictions on when you may travel), and there is more than one possible route you can travel, make sure you know which route the ticket is for. Most train tickets charge by the kilometer, and the conductor will know if you are traveling the longer route but have paid for the shorter route.
Don't leave your valuables in your compartment and go to the toilet "for just a second", assuming that they will be safe. I knew two women on an overnight train, one who was asleep in their compartment. The other women hung her neck-pouch on the luggage rack, and went to the bathroom "just for a second". She came back to find that everything had disappeared in a matter of 4 minutes: money, travelers’ checks, credit cards, plane ticket home. Take it with you.