Traveling to Alcala de Henares from Madrid by train is a very quick and easy ride, which explains why so many people live in Alcala and work in Madrid. Trains depart from the Atocha station every 10 minutes, and it takes about 30 minutes to get to Alcala de Henares (trains run between 6:00 am and 11:30 pm every day). It then takes about 10 minutes (if you don't get lost) to walk over to the Plaza de Cervantes, in the historic area. Tickets for a roundway trip cost 4.90 Euros.
It is very convenient and easy to go to Alcala by train. Departing from Madrid 'Atocha' (central train station), it takes approx. 45 min. to get there. Return ticket costs around €4.50 and trains run every 10 min. throughout the day.
While in Spain, the Cercanias train from Alcala to Madrid was victimized by a terrorist attack. Luckily, no one I knew was hurt from the attack. Nevertheless, we continued to take the train 2 to 3 times a week to Madrid for the remainder of our stay in Spain.
I walked everywhere in Alcala. Build those calf muscles. If you want to go to the Centro Comercial you'll have to take the bus.