My wife and I took the Palace on Wheels a few years ago ---- and absolutely loved it. It's important to note that it was on our first trip to Rajasthan (and to India), and that spending only a week seeing the highlights of Rajasthan would probably be a great disappointment for an experienced India traveller. Our journey was end of Jan. - beginning of Feb. and we therefore enjoyed perfect, mild weather throughout the week. Our car attendants were absolutely top-notch (it was the 25th Anniversary year of the Palace of Wheels, and we therefore bought the Anniversary souvenir book, and I was not surprised to see that our attendants had been with the train for all 25 years!), and our fellow travellers were absolutely lovely. The onboard service was very attentive, but more importantly, when we were off the train there was lots and lots of unobtrusive security folks making sure that none of the passengers ever got lost or subjected to any inconveniences. Superb management.

Very, very highly recommended for first-time visitors!

[P.S. I think that you'll find lots of threads on FT re the Palace of Wheels. Unlike the thread that Yastri linked you to, we had no problems with our reservations.]