Depends on where and when.  In Eastern Europe, train is usually cheaper.  In Western Europe, plane is sometimes cheaper but overweight baggage charges, taxes and costs to get to and from the airports sometimes bring the total cost to nearly as much as the train.

I usually decide based on time:

Train ride less than 5 hours: take the train unless the plane is a whole lot cheaper.
Train ride 5 to 7 hours: take whichever is cheapest (after figuring total cost for flying)
Train ride over 7 hours: fly unless the train is a whole lot cheaper or an overnight train saves time.