For an interesting day out the town of Lymington, on the coast, is well worth a visit. This is also where the ferries to the Isle of Wight sail to and from.
To get there trains run half-hourly from Brockenhurst Station and stop at both Lymington Town and Pier. The journey only takes 10 minutes and a day return ticket costs (Oct 2012) £3.50.
The New Forest has a couple of railway stations with Brockenhurst being the busiest and the most centrally located. This is on the mainline between London Waterloo and Weymouth and has regular services provided by South West Trains and Crosscountry. From London the journey time is about 90 minutes.
This is also the inland terminus of branch line services to Lymington from where the Isle of Wight ferries depart.
The station is located pretty much central to the village and whilst it only has basic faciliites everything else is close by. Local buses use the forecourt and there's usually a couple of taxis on the rank there too.