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.