The cross border trains are pretty good, the hydrafoil is far prettier but takes a lot longer and depends on the weather as to whether it'd be worth it.
my friends and I did this in the summer on the twin city liner (hydrafoil). was a great day out - would love to go back and spend time in bratislava. when we got off the hydrafoil there was a little tourist train thing which cost about 10 euros and it gave us a quick tour of the place then meant we could wander on our own. I have attached website for twincity liner. We booked online before going and picked up tickets once in vienna. http://www.ddsg-blue-danube.at/english/html/e_ tcl_fp3.asp