All the suggestions about visiting Olympia by train are outdated. Since January 2011, there is no train operating from Athens to Pyrgos. The only way to visit Olympia is by inercity bus, taxi or the tours organised by the travel agents in Athens.
The town has a train station and is the easternmost terminus of the line of Olympia-Pyrgos (Ilia). The train station with the freight yard to its west is located about 300 m east of the town centre.
It is linked by GR-74, and the new road was opened in the 1980s; the next stretch N and NE of Olympia is open in 2005. Train: 5 times a day, 40 min, 1 euro.
The distance from Pyrgos is 20 km, about 50 km SW of Lampeia, W of Tripoli and Arcadia and 4 km north of Krestena and N of Kyparissia and Messenia. The highway passes north of the ancient ruins.
Bus from Athens: 4 times a day, 6 hours, 19 euro.
Bus from Pirgos: 2 times an hour, 30 minutes, 1.5 euro.
Olympia is a long but scenic bus ride from Athens (almost 6 hours) via Pyrgos, but there are many buses throughout the day. There are also several buses from Patras, which is not too far away.
Most buses originating in western Peloponnisos will change at Pyrgos. You can also get there from the east through Tripoli, which is only a couple hours away.
The ruins are easy to find once in town.
There's a two way to get to Olympia.
1) Bus : from Peloponnese Bus Station in Athens you take Car: E-65, then E-55
and it cost about 30$
2) Train : Train to Pirgos, then change for Olympia (from Athens).
Trains are slow. Don't be deceived by distance. Avoid it if you can. Nearly all places of interest are best traveled to by car or bus.
HOW TO GET THERE
By bus from Athens: KTEL Bus Terminal - Athens 100, Kifissou St., / tel: 01/5124910.
By rail from Athens: Athens terminal Peloponnese Station, tel: 01/5131601.
By Ferry from Zakynthos and Keffalonia: Kilini port Tel:0623 92211.