The Train from Lagos to Lisbon - Change at Tunes as you indicated.
Years ago, the train used to run to Barreiro on the South Side of the Tejo and then you got a ferry across.
However, for the past 4 years there has been a rail link over the Tejo under the 25 de Abril bridge which give one a spectacular view of Lisbon and the River.
Most trains now stop at two stations in Lisbon:
Entrecampos - Best for Central Lisbon. Metro Station
Gare Oriente - Main interchange with line running North for Porto Campanha.
Certain interregional services stop at Lisbon Sete Rios as well.
From Central Lisbon trains depart Sta Apolonia Station, near the baixa. (Metro now open). They run through Gare Oriente running north.
Trains South leave from Porto Campanha. To get to Obidos you will have to change at Coimbra-b, Bifurcacao De Lares, and Caldas Da Rainha stations. Transit time is about 5 hours. Note that the station in Obidos is outside the town.
There is no direct train from Obidos to Lagos. Travel time will be between 7,5 and 8 hours and you will have to change train in Monte Abraao, Sete Rios- Lisbon and Tunes.
You may find this link on my blog and the links to timetables shown in the right hand panel of the blog of use:
http://barlaventostravelblog.blogspot.com/2008/07/caldas-da-rainha-to-faro-by-train.html
