Comboios
Want to or need to go away from Albufeira, why not by train? You have different choices for trains and they can be very fast and are very confortable too! Bar and WC as well as spacey wagons. For example, you can get to Lisbon (280km) on the Alpha Pendular in just a little over 2 hours.
There is a train station right outside Albufeira in Ferreiras. Some 3 miles away, this train station will connect you to the rest of the country. Here is also a map with the closest train stations to Albufeira
To see a lot more information about trains in the Algarve, visit the site with descriptions of routes and prices.