The ALSA bus and RENFE train both take about the same amount of time. Two buses per day but only one train. If you book in advance then bus will probably be cheaper. Personally I would prefer the train.
If you're from outside the EU you will also need an international driver's permit. When I hire a car I always take the full insurance from the hire company. This means you are covered for all eventualities with no deductible and they won't hold a big deposit on your card.
Plenty of low cost flights, but watch the extra charges for checked baggage, to print tickets, etc. I’m walking the Portuguese and the reverse on the Ingles in late May, then flying to Bilbao from A Coruña for 19€!