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In Rajasthan if you want to travel overnight, it's safer and more comfortable to take the train than a bus or car. Trains offer classes of service for all budgets (seats and sleepers, air-conditioning and non-air-conditioning, reserved and unreserved). Trains do get crowded, though, during peak season, and you may want to investigate special "tourist quotas" that set aside seats for foreign travelers. Check with a travel agent rather than deal with the crowds and administrative chaos at the train station, and book as far ahead as possible.
Because of Jaisalmer's proximity to the Pakistan border there are no commercial flights, although there has been talk of flights recommencing in 2013. Until that happens a train is the best method of getting there.
The Shatabdi Express, an air-conditioned chair-car train (the local term for a train carriage with only seats, no sleeping arrangements), travels every morning from New Delhi, departing at 6 am to arrive at Jaipur by 10:30 am. The DEE Double Decker leaves Delhi S Rohilla station at 5:35 pm and reaches Jaipur at 10:05 pm. The BDTS Garib Rath leaves Delhi Cantt station at 9:35 am and arrives at 2:10 pm. Daily trains connect Udaipur with Jaipur, Ajmer, Chittaurgarh, and Delhi. Trains also run out from Delhi to Jaisalmer and Jodhpur as well as Jodhpur to Jaisalmer, but they're significantly slower than the road routes.
The famed Palace on Wheels is a luxury train that runs across the state, connecting major sights. It's quite expensive, and not everyone feels that the accommodation standards merit the train's high prices. Note that if the train is running behind schedule, you might miss some sites.
Indian Railway Catering and Tourism Corporation Ltd (11/3934–0000. www.irctc.co.in.)
Palace on Wheels (11/468-68686 in Delhi; 888/463–4299 U.S. and Canada; 800/845–6201 in Europe; 11/257-53628 in Delhi. www.palaceonwheelsindia.com.)