The Setúbal train staion is served by three lines: Fertagus (Setúbal - Coina - Roma/Areeiro), Linha do Sado (Barreiro - Setúbal - Praia do Sado), and CP Intercidade (Lisboa Oriente - Tunes - Faro). It is located near the northern end of the town, and it takes about 15~20 minutes to walk to the center of the city via the soccer stadium and Jardim de Bonfim. While the platforms are rather plain and normal, the front façade is embellished with the traditional pink-color building and azulejo-made station sign. It is located at Praça do Brasil.
Fertagus is currently the only train service that directly connects Lisbon with its southern subrubs all the way to Setúbal via Fogueteiro and Coina. Usually the trains from Roma/Areeiro terminates at Coina, but there are services all the way to Setúbal every 30 minutes on weekdays and hourly on weekends. Owned by a private company, the Fertagus service offers wide and spacious 2-storey cars added with a great view of Rio Tejo and Lisbon while crossing the Ponte 25 de Abril. Tickets can be bought from automatic machines and information/ticketing desks at each station, and the options include 1-way and 10-trip pre-purchased tickets.
(P.S.) This is also my favorite means of public transportation system in Portugal!