Recently came across a very good website called 'Travel Penang Malaysia'. Provides a lot of useful information about travelling within and outside Malaysia from Penang. Has some particularly good advice and guidance with regard to the various train and coach services operating and where to buy tickets.
If you are travelling from Penang to Thailand (Hat Yai, Surat Thani, Hua Hin or Bangkok) this site provides a great overview of the trains operating to those destinations. The journey to Bangkok is a long one (albeit sleeper trains are available) but if you have time on your hands, prefer the often more charismatic train journey to flying, and / or wish to benefit from the considerable savings (a one-way ticket on a 'lower' sleeper bunk is just RM 111), the train is a great alternative to consider. I plan to try this service and write a more complete review in due course. I've added the site to the 'Travel Links' also.
On the subject of coach travel, previously I have advocated using the Nice Plus and Aeroliner coach services between Penang and KL. This advice still holds to a degree BUT there is a downside to those two services. The former stops at the Sungai Nebong Bust Station which is way out from Georgetown or the north of the island (but OK if you are staying at the Eastin Hotel or around the Batu Uban / Bayan Lepas side of town) and the latter stops at Queensbay Mall, again in the Batu Uban area. Both of these services will require you to take another bus or even a taxi if you want to get to Georgetown / north of island etc. If your ultimate destination is Georgetown or north of the island you would be much better served by a coach that arrives and Komtar (likewise if you are departing, a Komtar service will likely be much more accessible for most people). So, in addition to that advice I would also point readers in the direction of two other similar and very useful sites.
The first is Journey Malaysia:
Nested in amongst its pages is a useful overview of bus services operating to/from Penang, providing details of departure/arrival times, drop-off / pick-up points, bus type and fares. The site can prove difficult to navigate at times (try finding how you would actually get to the link I have posted from the site's Home page!!) but I still find it useful.Once you have located the service you are interested in you can use the services of the 'Bus Online Ticket' site to actually book a ticket and ensure the journey details are still up to date:
The site also provides a good overview of the various operators or you can just book a ticket using the online reservation facility. As an alternative to online booking you could also buy your tickets direct from the operator kiosks at Komtar.
Further alternatives for coach travel would include taking a coach to Butterworth, just across the Penang Bridge on the mainland (but still Penang state) and catching the ferry across to the Penang jetty, again a more central town arrival point.