The train was probably the best decision I have made as a form of transportation in Thailand. We woke up early to catch the 5:55am train at Hua Lamphong Railway Station in Bangkok to Aranyaprathet. Then it was only a ten minute tuk tuk ride to the border, where we exited Thailand, purchased our Cambodian visa, and entered Cambodia (in that order--unless you have purchased an e-Cambodia visa, do not let anyone sell you a visa before you go through Thai exit immigration or they will be hustling your for money and possibly a fake visa).
The train was long - a six hour ride - but nothing beats a 48 baht (less than USD$2), third class only, open window seat journey where you can see, smell, hear, feel, and taste Thailand as you rumble through the landscape and screech to a halt at dozens of rural train stations!
The passengers are mostly locals with a small contingency of tourists from backpackers to luxury travellers who are out for the experience. Street food and beverages are sold on board. Fore more detailed information on travel from Bangkok to Ho Chi Minh/Saigon by land, see the link below.