It is possible to get a train from Albufeira STATION to Lagos. However, Albufeira STATION is situated in Figueiras, a village about 7km from Albufeira itself. While there are some buses between the two it is a bit of a drag.
You would be much better getting the bus between Albufeira and Lagos.
Eva Transport bus timetable from Albufeira Bus Station to Lagos:
http://www.eva-bus.com/home_pesquisa2008.php?lang=PT&servico=0&origem=Albufeira%28T.Cali%E7os%29&destino=Lagos&Procurar=Ok
Also on the right hand side of this blog you will find a panel entitled
»» Algarve & Portugal - Travel Transport Links
There you will find an entry entitled:
»» Algarve Regional Line Train Timetable
Click on it for the latest railway Timetable for the Algarve line which includes Albufeira STATION to Lagos.
