By train - By night train from Athens (Larissa station), about 6 h, costs 31€, or about 50 if you want a sleeping compartment to yourself. Daily trains from Athens 4h 15 min (intercity express trains), 6h(normal trains) cost about 50 euros first class. A very good option are the 501/502/503 trains, costing about 14 euros (11 for students and people up to 26) and take only 5h 45min.
Unfortunately for smokers, smoking is banned in all but a few trains. The last train at night departs at around 01:50. There is also a night train (wagon lit) from Istanbul, departure every day at 20.00. It arrives 08.00 next morning and costs 48e.
To/From Skopje, - direct link: Skopje to Thessaloniki train is 20€ RT with young person discount, 20% more without. Train leaves for Thessaloniki at 3:10am or 4:00pm. Thessaloniki to Skopje train leaves at 9am or 7pm. Both trains take about 4 hours.
There are also direct train connections to Sofia (about 5 hours), Budapest and Ljubliana (24 hours) via Zabreb (21 hours). But please mind: The trains from Ljubljana arrive usually more than two hours too late in Thessaloniki.
By plane - Thessaloniki has an International airport connected to Athens, Milan, Rome, Zurich, Dusseldorf, Munich, Moscow and London. A flight from Athens costs (one way) about 80 euros - but if you book early, the two domestic airlines can offer tickets as low as 19 euros (without tax). There are several flights to Aegean and Ionian islands.
By car - From Athens about 5 hours (Highway) From Istanbul about 8 hours From Belgrade about 7 hours One of the burdens for visitors and inhabitants alike is finding a parking place, so be prepared to either spend a lot of time looking for a place or pay for space in the parking lot (starting from 4 euros/3 hours).
Get around
If your goal is to get out to the airport, hop on bus 78. It connects the airport with the bus station ("Ktel"), passing by the train station ("OSE") and ticket costs 0.50€ if you buy it from the kiosk (0.60 if you buy it from the automatic ticket vendor, exact change needed). It's about a 25 minute ride. You can take this same bus back from the airport. Now available bus and after 11pm, and isn't among the most frequent busses. A taxi ride from the city center costs about 10-12 euros - it's hard to find one during peak hours (7-8 am, 2-4 pm and 7-9 pm), so plan early!