There are three train routes: the new HSR from West Kowloon, the traditional direct train from Hung Hom, and an indirect route heading first by MTR to Shenzhen, then taking a domestic Chinese train to Guangzhou.

The HSR sitting-on-the-train time is shortest, but the arrival station in Guangzhou is inconvenient. The traditional direct train is a bit slower, but you arrive in the center more or less of Guangzhou. The indirect route can be a bit cumbersome because of the border crossing, but it's cheapest.

There're also buses, but they're slow and not too comfortable. Nonetheless, in some cases -- if you're starting from HKIA for example -- the bus may be worth considering.