bus
Buses take you to dozens of towns around Laos including most likely the ones on your itinerary. Minibuses operate from here to around the town suburbs itself, though there is nothing to see around the town that you need a bus to get to, and tuktuks will be more direct convenient and relatively cheap if you bargain.
Phou Khao Khouay National Protected Area for wonderful elephants and waterfalls and fresh highland scenery.
Luang Prabang a supremely charming city in the north of the country.
Vang Vieng for a party atmosphere head three hours north to the beautiful town of Vang Vieng. Buses from Talat Sao cost 35,000K, but can get a little crowded.
Buses to Thailand operate regularly from Talat Sao bus station. There are 6 buses to Nong Khai and Udon Thani during the day. Avoid the tuktuk/songthaew drivers insisting it is late/slow/gone and wanting 50,000 kip to drive you to the border before dumping you there at the mercy of their Thai equivalents on the other side. Your driver will provide Thai Arrival/Departure cards for you to fill out on the way to speed the process; be sure to have a Thai multiple entry visa or pre-arranged visa ready so that you don't delay the bus - they do perform head counts, but do you want to risk it driving off without you while you fill in forms? Related matter: carry your bag with you just in case it ends up at the destination and you do not!
Buses to Cambodia: see above: Get In > By road > From Cambodia: The same information applies for the reverse journey.
Asking around the bus station for "Friendship Bridge" or "border" is effective. The last bus #14 leaves Talat Sao for the bridge and Buddha Park at 5:30PM according to the timetable, but it may run later. Don't believe anyone who tells you the bus is finished - just ask the bus driver.
There are no immigration fees when exiting Laos via the Bridge, except at weekends when a token 9000 kip or 40 baht August 2010"overtime charge" might apply. Just walk past the exit fee booth. If no-one stops you, you haven't done anything wrong.
Tickets from Vientiane to Udon Thani can only be bought from the Talat Sao bus station on the day itself for 22,000 kip.
train
There is no rail terminal in Vientiane; the only train station in Laos itself is 20km away at Tha Naleng, beside the Friendship Bridge. Built with enthusiasm by the Australian government wishing for improved connections between Laos and Thailand, the Vientiane government has simply left it hanging as a useless station in the middle of nowhere with no plans to connect it to the town.
If you do wish to travel by train e.g. for decent sleeping quarters, the most convenient bus for rail travel to Bangkok leaves at 14.30 for 15,000 kip. This allows you to breeze through the border during a less busy time and on to the quiet charm of Nong Khai with an hour or two to spare before the "Rapid" train heads for BKK at 18:30, arriving supposedly at 07.00 but often closer to 08:00. Cost of this journey: 15,000 kip for bus to Nong Khai, 680 baht for 2nd class sleeping quarters to Bangkok.
There are plans for building a high speed railway from Kunming China to Vientiane, and extend to Thailand, Malaysia and Singapore.
boat
Vientiane may be situated on the mighty Mekong; but it lives more in fear than in love with the river. There are no bridges across it in Vientiane, and there are no docks or promenades currently: a new levee is being built due for 2010 that will separate the town from the river by 100 metres of parkland. As such, boat travel from Vientiane on the Mekong is extremely rare, slow and expensive, especially travelling upstream. Don't plan on it!