Once upon a time, Spain had one of the most backward train networks in western Europe.  Now, they have one of the best, indeed, one of my favourite rail systems.  High-speed AVE trains (Alta Velocita Espagnol) link major cities at up to 186mph, and if you book in advance online you can find some great cheap fares at the official Spanish rail website, www.renfe.com.  This page will give you a heads-up on how to travel cheaply around Spain by train.