Okay, that title could be a bit misleading. By the end of this topic, you’ll know what I’m talking about (or, go to the bottom for a disclaimer) BUT this IS about a solution to all your “tired of walking” dilemmas. Don’t worry, it’s easy.
First, you need a badge. These are badges:

They correspond to the city that has the council, Aduro has the fire council (fire badge, the left-most one), Verdane has the earth council (earth badge, center), Skyward has the air council (air badge, right)..etc, etc, etc.
Acquiring Badges:
This is for those who are new to the game OR don’t know how to get the badges. First, in a town, talk to the guy who is wearing a hood (hood can be any color) that can give you a quest:

Do ALL his quests until he gives you a badge.
So, once you have the badge for the corresponding city, you can now use “The Train Station”!!! *cough, cough
Getting to a Train Station:
To get to a train station, you need to investigate a little. Usually, the entrance to the train stations are north of the city. Here’s some example locations (red arrow pointing to station entrance):
Ocean road/Vesport station: (Pic shows Ocean Road-North of Vesport)

Aduro station:

Verdane station:

Metropolis Station:

Joule Station:

Aureus Station:

Using the train station:
Using the train station is not difficult once you get your head around it. The badge acts like a “ticket” for you, to get to Aduro, you need the Fire badge—etc. To go inside the train, click on its doors. You will automatically go off the train once you arrived in a town.
The mechanics of USING the train is a different topic.
In relation to the map:
The train on the bottom rail goes east, generally, it goes from lower level towns to higher level towns :

The top rail goes west, from higher level towns to lower ones:

RAILS!!!!!
Okay. Now, how do you get from the top to the bottom rail (or vice versa)? You go through the black platform marked “people tunnel” (artwork is still on-going). Generally, they can be found on the left-most part of the station.
This goes from the bottom rail (heading east) to the top one (heading west):

This goes from the top rail (west) to the bottom rail (east):

Disclaimers
The use of the train station is cool, but it does not go to some cities. Take Skyward, for example. There is no train going through Skyward. You have to go up the Mountain Pass OR use the station in Joule Town (which is quicker).
Sorry for the excessive use of pictures, some people might not understand the topic so I made it idiot-proof. If you have anymore questions, private message me. I’m usually online on Room 2 (TM chat). Also, if anyone is wondering, the Terra Dollars was given to me by a friend.
Edit: 3/6/12: Metropolis and Joule added, Aureus will be added as well. (If you have a pic, please pm me the link, I use Tinypic.com)
Edit: 6/6/12: Aureus added.