Though it's often faster to travel by bus, all the main towns in Old and New Castile are accessible by train from Madrid. Several make feasible day trips: there are commuter trains from Madrid to Segovia (2 hours), Alcalá de Henares (45 minutes), Guadalajara (1 hour), and Toledo (1 1/2 hours). Trains to Toledo depart from Madrid's Atocha station; trains to Salamanca, Burgos, and León depart from Chamartín; and both stations serve Ávila, Segovia, El Escorial, and Sigüenza, though Chamartín may have more frequent service. The one important town that's accessible only by train is Sigüenza. Trains from Segovia only go to Madrid, but you can change at Villalba for Ávila and Salamanca.
RENFE (902/240202. www.renfe.es).