Naoetsu is a port town with ferried that run out to Sado-ga-shima Island just off the coast of Niigata. There are ferries which take 2 and a half hours and also a jet-foil ferry which will get you there in 60 minutes. Contact the Sado Kisen Company (025)2451234 for more information.
When I travelled Joetsu I was coming from Niigata city in the north. I took a local train from Niigata to Nagaoka and changed trains to get to Naoestu Station (see picture) in Joetsu. This took 3 hours (approx) and cost over 2,000 yen. I wasn't in a hurry though so it wasn't necessary for me to take an express train which would cost double the price. When I left Naoetsu I took a train on to Nagano city (1450 Yen). There are trains that go to Kanazawa City in Toyama Prefecture.
If you are going to be doing a lot of travel in Japan by rail then there is a Japan JR Rail Pass available to foreign travellers. See the JR East website for details:
It must be bought abroad and stamped in Japan before you can use it. There are several options including one week (unlimited JR travel except for the super fast Nozomi service), two week, JR East and JR West passes. Check with your local travel agent for the best option or click on the link to see for yourself!
Here is a link to a very cool page that lets you see the routing between cities/stations/ports within Japan. It will tell you the route and includes the cost and time. http://www.jorudan.co.jp/english/norikae/.
Joetsu has three Expressway Interchanges and the Joetsu Junction which seperates the Joshin-Etsu and Hokuriku Expressways.