I'd second babaduck. Train station basically on the beach with frequent trains straight into Lisbon. The terminal station in Lisbon is just below the Bairro Alto and the city is pretty walkable (be warned though, loads of steep hills and cobbled paving - to say nothing of some crazy driving!).
Train website is
www.cp.pt, the line you are looking for is the Caiscais line. In Lisbon itself. It is divided into several areas and they each have their own charms, it is a lovely city to explore.
South of the river is quite pretty and agricultural once you get out of the commuter area, there is that massive statue, the Cristo Rey (a match to Cristo Redentor in Rio) and there are some impressive castles and pleasant wineries there (try getting to the Jose Maria De Fonseca winery in Azeitao). Public transport south of the Tagus is provided by
TST (Transportes Sul do Tejo) and the commuter train to the Setubal peninsula is the
Fertagus which also runs some connecting buses to some of the stations. Unfortunately not all of the websites have an english language version but generally it is possible to puzzle them out.
I would also recommend visiting Sintra - it is about an hour from Central Lisbon on the train (the Sintra line on the CP website). Quite touristy but really beautiful.