hi
there are usually frequent coaches from KL to penang. A few trips a day. If i recall correctly, it only takes around 5 hours on the highway. Not very interesting journey (as I come from Malaysia anyway), but comfortable enough. The seats are huge...get the luxury coaches, not the normal ones. Might cost around RM35, around £6-7 each way. tkaes you all the way to Penang island.
Air asia is cheap
http://www.airasia.com.my
but the airport is rather far. There is a coach you can get from central KL to the air asia terminal, cost around RM9 and takes around 45 minutes.
hope this helps.
ps: not taken trains for a while. i remember it taking ages quite some time back! I thought i could have cycled faster!