Azerbaijanian railway services are known to be cheap and relatively well-organized. The Bakuvian Central Railway Station itself is a clean and beautiful building with big, modern screens which provide all the information for the arriving and departing trains. The staff is helpful enough to answer the questions of tourists, but some slight communicational difficulties may occur if your only spoken language is English. There is a metro station just right next to the station.
Keep in mind that the station has no restaurant or a snack bar, and make sure that you bring some food yourself.