Shekhawati is crossed by a mainline railway, linking the major towns with Delhi, Jaipur and Bikaner, but services are all hopelessly slow, unreliable and run at inconvenient times of the night; basically, you're better off travelling into the region by bus.
From Jaipur , the first town in Shekhawati you come to is
Sikar , an unprepossessing market town two hours away by road (110km) that's only worth stopping in to pick up transport northwest to
Nawalgarh , where you'll find better hotels and a more relaxed, rural atmosphere. Buses also run from Jaipur to
Fatehpur (48km north of Sikar) - approaching
from Bikaner , this will almost certainly be your point of arrival. Travelling from
Delhi , the first town in Shekhawati worth stopping at is
Jhunjhunu (245km southwest of Delhi and 180km north of Jaipur).
Unless you happen to coincide with the right train, travelling around Shekhawati by rail is far less convenient than by bus; slow and infrequent trains arrive at stations on the outskirts of towns. Fairly regular local buses , always overcrowded, also usually stop on the outskirts of town; few operate after dark. Jeeps run according to demand, picking up as many passengers as physically possible. For less congested and precarious transport, you can rent a Jeep in Nawalgarh, but by far the most comfortable (and most costly) way to get round the area is by taxi from Jaipur; for a three-day/two-night tour, most Jaipuri travel agents charge around Rs1600 for a diesel Ambassador, or Rs2200 for a more luxurious a/c model.