Busses

Local Busses
Government busses run between Bangkok's Southen Busterminal to Chumphon every day from 7 am until midnight. The bus terminal is across the Chao Praya River from Khao San Road. Ask taxi driver for "sai dai mai".
Southern Bus Terminal :
Boromratchchonnani Rd, Bangkok
Tel: (66) 2435-1200, 2434-7192

Busses also run from Phuket, Khao Lak, Surat Thani and Hat Yai. 

Tourist Busses
VIP tourist busses, and mini busses run from every tourist destination in Thailand. Efficient and fast, even if more expensive than local busses. Tickets can usually be arranged from every travel/ticket office, and most hotels and guest houses.

Trains

Trains leave Bangkok's Hualampong train station. 1st and 2nd class tickets can be booked in advance. 3rd class is usually first come first serve. On Thai holidays and long weekends the 3rd class is usually packed, and seats can be hard to come by. The journey take 8-9 hours.
Train schedules and prices can be checked on www.traveller2000.com/train/

Boats

High Speed
There are currently 2 companies that run joint bus & high speed ferry tickets from Bangkok's Khan San Road. Sea Tran and Lomprayah.

Express
Songserm was the first company to offer express boats between Chumphon and Koh Tao. There are now other companies as well, one of them is Phangan Cruises.

Slow
There are a few slower (read cheaper) options. They are also referred to as night boats, funny enough the leave at night and arrive early the next morning. Ko Jaroen, Talay Sub and the "Night Boat". They take about 6 hours to cross, they are basic and not the most comfortable in moonson season October - December.