EC or IC trains are faster, tend to stop in fewer places, travel long distrances, but cost an extra fee of around $5 (this varies from country to country). If you need to travel a long ways in a hurry, consider an IC/EC, since the small fee is minimal compared to the time saved.
The other cheaper alternative is to "sleep" in a train compartment. I've had varying amounts of success doing this. If the compartment is full, you may as well forget about sleeping much unless you're good at doing it sitting up. If you're lucky enough to be riding a German train and have an empty compartment, you can pull the seat bottoms together to make a relatively comfortable bed. Unfortunately not all European trains offer this comfort. Sleeping in a Czech train hits the other end of the comfort scale; not only do they cram 8 people into the standard compartment (most other countries only have six seats in a compartment), but their seats are made of slick 60's vinal, which is perfect for sliding off of when the train skids to an abrupt halt. ;-)
If you have the room and plan to do overnight travelling on trains, take a compact, lightweight sleeping bag with you. It drastically increases your chances of getting a decent night's sleep (and can even make those Czech seats bearable). After all, there's no bigger drag than walking around some beautiful foreign city if you're too exhausted to enjoy it.
All the scum types of the earth seem to gravitate to train stations.
(Newton's 5th law>) My most harrowing night was spent in a tiny village
in southwestern Czechoslovakia. We actually did miss the last train to
Prague, and didn't have cash for the one and only hotel. Now Domazlice is
really a tiny dot in the middle of nowhere. It was quiet until about 25
Bangladesh refugees wandered in at midnight (to this day I still wonder
how they landed there). Which was fine - we played cards and chatted -
until 2 skinheads showed up at 3am. One of them had an AK47 with them.
Then I really started sweating. Luckily a train to somewhere else left a
half hour later...
That was the first - and last - time I've ever spent the night in a
station.