I've never seen "work your way on merchant ships" as an option, but the "pay your way on a merchant ship" is actually more expensive than flying in most cases, since it takes a long time. I'd still like to try it one day.
Crewing a yacht, if you have sailing, cooking, etc. experience, is also an option.
Trains in the US are more expensive than flights (for long haul routes), but in other countries, are a good deal. However, even in Europe, low cost carriers are price competitive with trains. Costs a lot more per minute, but the flight is much faster.
Actually I've found that if you're travelling between European capitals, trains are basically always more expensive than airplanes. The only time trains can really compete on price is if you're travelling between places without a reasonable airport. The cheapest way to get around Europe is probably still bus, but that is hardly a comfortable way to travel.
Crewing a yacht, if you have sailing, cooking, etc. experience, is also an option.
Trains in the US are more expensive than flights (for long haul routes), but in other countries, are a good deal. However, even in Europe, low cost carriers are price competitive with trains. Costs a lot more per minute, but the flight is much faster.