Hualampong railway station หัวลำโพง or officially known as Bangkok Railway station is the main train station connecting intercity and intercountry train services.
Trains that ply north, northeast, south, east and to Malaysia (Butterworth) can be accessed through this station.
Train schedule taken during my trip there a few years ago. Always check as their timings may have changed (via this url: http://www.thairailways.com/time-table.intro.html).
While waiting for your train, you can find places to eat and bookstores at Hualampong. I had seen Hualampong selling guidebooks in English and Thai dictionaries.
Just to share, travelling by train is not the cheapest mode (unless perhaps you are taking the non air con sitting class). However it is a novelty as travelling by long distance train is not common in many developed countries.
I have taken the train from Hualampong a few times when returning to Malaysia from Bangkok.
I would usually buy the sleeping bunk:
Beginning, the sleeping bunks would be just seats. Then as it is nearing evening, a staff would be coming by to change the seats into sleeping bunks. I would advise you to buy food from Hualampong or the areas around it to take up to the train to eat. Even though there are people peddling food (when train stops at certain stops, there are people who bring the food and walk around to ask), it may not be the food that you like to eat.
Address of Hualampong train station:
State Railway of Thailand
1 Rongmuang Road, Rongmuang,
Pathumwan, Bangkok 10330
Contact numbers are stated on this site.