As I already disclosed in the title, Gstaad is one of the stations on the route of the GoldenPass train, which goes from Montreux to Interlaken and vice-versa. It is one of those railway routes that are very well-known by tourists, so the company of Swiss railways recommends to make reservations, however they are not obligatory. Personally, I did not make a reservation, although I was there during the high season, and I was able to find seats anyway.
In addition to the GoldenPass trains, but covering a section of the same route, there are also other local trains of the line that connects Montbovon to Zweisimmen. They travel every hour from before 5 am to after 11 pm, so goint to Gstaad or leaving it is very easy.
My picture shows a railway bridge that can be seen from the centre of Gstaad, and of course, if you happen to travel by, you can have a view of the centre of Gstaad from the train.
The timetables can be found in the website of the SBB, the Swiss railways.
www.sbb.ch -- the Swiss train system is safe, reliable and a very easy way to get to Gstaad. Their website allows you to pick English, German, French or Italian.