I was just in Madrid and took a day trip to Segovia.
I rode the train to Segovia (from Chamartin)and it was a very nice ride. I was impressed. However, the train station is a bit further away from the city center in Segovia. It cost around 760 pesetas one way.
The bus was also a nice ride, and a lot shorter. It only costs 560 pesetas one way.
You can catch the bus at the station near the Principe Pio metro station in Madrid and it takes you to the city center in Segovia.