Buy these tickets in the stations! Here in CEEurope we are still haven't given into bucket pricing and are used to buying ticket more or less walk-up, but the EU/local railways have many discounts that aren't very limited making it cheaper than prices quoted from other int'l railways or raileurope.

MÁV Hungarian Railways international desk at Kelti Station are helpful. (Way back over in the hall to the left of the platforms. Take a number from the machine!!) Don't let their gov't job attitude get to you, smile, show any railway discount card, int'l student- or senior-ID you have and more likely than not they'll sell you the €13 ticket to Vienna, right up to departure (this is techically not allowed, but they are nice in their own wierd way--as long as you don't annoy them by being obviously loud/clueless/insisiting on them running 5 seperate credit cards for a group going together). This ticket is bound to an included reservation for a specific train. It is worth checking the schedual and try to get on a RailJet (very reliable/comfortable). The trains are rarely full and reservations are only loosely followed. Just stay in 2nd class ("economy" class on the railjet.) Check out wikitravel for descriptions of the other tickets and instructions for the cheapest ticket to Prague.

Its also possible to travel by bus (free coffee/tea/headphones/newspaper with service attendant and films) for €7 one-way. These are good if you are really worried about pre-booking. See wikitravel.