You can get a train to Hua Hin from the main station in Bangkok. I am not sure of the price but it will be cheap. A taxi will cost at least 3-5,000 bhat. Hua Hin has a lovely little station and is worth a visit.

Trains are living several times a day from Hua Lamphong station, which you can reach via MTR, station is Hua Lamphong. Don't take a taxi to go the train station, it will cost you 400 THB, where a MTR ticket will be 15 THB. It takes between 4 to 5H00 to reach Hua Hin, price tranging from 300 THB. I recommande you take the Air con cabin, and it's better to reserve at least 2 days before. Taxis and mini vas are too ridiculously expensive to mention; however, you also have government buses. Train reamins the best choice.

There is also the option of a bus, which is 160 BHT - I just did the trip 2 days ago! I would not recommend it though if it's hot as it only has fans, and is an uncomfortable 3 hour journey - albeit cheap! Train timetables can be found at seat61.com... fares depend on class and seat/sleeper type, and as the journey is just under 4 hours, a day seat is probably best! You may need to book in advance however...

You can catch train to Hua Hin from Hua Lamphong station (tel. 02-220-4334). There are several trains a day. Ticket cost up to 200Baht.
Bangkok - Hua Hin train table