The Long Island Rail Road has 124 stations (including those in Brooklyn, Queens, and Manhattan) and frequent service. Bicycles are allowed with a permit ($5; applications are available on the LIRR Web site). On weekdays trains are congested during the 7-9:30 morning rush and the 4-6:30 evening peak. In summer the LIRR offers Hamptons Reserve service (aka "the Cannonball"), express trains with reserved seats, air-conditioning, and bar and snack service.
Long Island Rail Road (516/822-5477 or 631/231-5477. www.lirr.org)