As the name implies, Warsaw's Warszawa Centralna (Central Station) is right in the heart of the city, between the Marriott and Holiday Inn hotels, and next to the Palace of Culture. Beware of pickpockets and muggers who prey on passengers as they board or leave trains. Most trains from Warszawa Centralna stop on their way out in Warszawa Wschodnia, Warszawa Zachodnia, Warszawa Gdańska, or Warszawa Wileńska—depending on their direction.
You can purchase train tickets at the train station or at travel agencies, including Orbis. You can also buy tickets on the train (there is a small surcharge), but be warned: old-fashioned regulations require you to notify the train attendant before you actually get on that train if you need to purchase a ticket on board—otherwise you may have to pay a penalty. Tickets can also be bought online, and the full train timetable (rozkład jazdy pociągów) is available on the website of Polskie Koleje Państwowe, the Polish national rail company.