When I was planning the trip, the round trip flight from my origination (PHX) to RAK was pricing around $1500 at the cheapest. The flight to MAD was only $850. So at the time (late Sept 2010), my roundabout route to Marrakech was considerably cheaper, though more time consuming, than flying direct.

If I remember correctly, the train+bus from MAD to Tarifa was around US$60 one way (about a 6 hour trip), the ferry across the Strait of Gibraltar to Tangier was US$35 one way (35 minute trip), the overnight train ("first class" sleeping car) was less than US$20 one way (10 hour trip).

I took EasyJet back to Madrid for my return to the US. That priced at about US$30. But also kept me from buying as much in the Souks since EasyJet charges a fortune for the second bag.