I haven't been but it is very close, just a 30-minute boat ride. It's one of the 'to-do' trips for tourists here! There are a few small islands dotted around that make for a nice day out off the island and we have connections to Koh Phangan, home of the infamous full moon party and Koh Tao, the main location for diving.
Overnight trains here are great and very comfortable. First class is still inexpensive and you get private facilities! I actually enjoy the overnight VIP bus but it's important to time you need for toilet breaks, you really don't want to have to use the toilet on the bus!
In the UK, the Great Western Night Riviera runs nightly to and from London and the West Country or you could try the overnight ferry to Spain or Newcastle to the Netherlands!
Get your backpack out and rough it once in a while.... but I can probably guess your response to this!! ;-)