From a supporter/reader/possible future Caminho walker:
More on CP.PT--the Portuguese rail line. I've been using the rail service very regularly as a part-time Portuguese resident for the last two years. The trains are VERY reasonable, and tickets easy to buy on-line from anywhere.
Typically, they have a lot of discounts and if you know in advance when you will be travelling and can buy your long-distance tickets 10 days or more in advance, you can save 40% or so. Right now there's a promotion running through just to the end of April, but most likely there will be another one after that, as well!
Consulte todos os descontos CP para todas as idades. Compre já o seu bilhete de Comboio na nossa Bilheteira Online.
www.cp.pt
Alfa Pendicular are the high-speed trains that run 3 or 4 times a day; a bit more expensive. Intercidates (Intercity) are the ones that run every couple of hours from early in the morning till mid-evening. They stop at the major towns and cities. Have both first- and second-class cars, and second class is just fine. Almost as fast as the Alfa Pendicular. Even slower are the Regional trains--the "milk runs." These are pretty slow--they stop at every little station along the way. Only worth the savings if you're taking a very short run.
Lisboa (Lisbon) Oriente is the station you want to start out from if you're taking the train out of town immediately. Santa Apolonia is downtown, on the waterfront. Oriente is just 3 Metro stops from the airport and easy to access. As others have commented, long-distance buses also run from the same location--the bus station is right in front of the strikingly modern railway station.
And if you're wanting to save money and not eat in the railway cafe car (pretty basic Portuguese snack food), there's an excellent, large Continente grocery store in the basement of the Vasco da Gama shopping complex that is just towards the river from the railway station. Huge selection. On the other hand, if you're in Lisbon a day or two, and decide to stay downtown, and then head north from Santa Apolonia station, there's a smaller, but still very complete Pingo Doce grocery store within Santa Apolonia Station--same thing--you can get all kinds of fresh bread, fruit and vegetables, beverages, etc. etc. before you get on the train.
Oh yes, and if you're over 65 and from anywhere, not just Portugal or EU, you get all your train tickets at half price! You just show your passport when you buy your ticket and identify yourself as a "reformado." You can't get both a pre-payment discount and a retiree discount, though. But if you're 65+ it's rarely worth buying in advance.