I wanted to share my recent (Feb 2012) experience traveling to Cuenca on the AVE train, as the service is relatively new, and neither of my guidebooks had any info on it.
If you're leaving from Madrid, the train departs from Atocha station. Currently, depending on the day, there are three to five high speed trains leaving between 7:00AM and noon, taking from 51 to 58 minutes. You can see the schedule at the Renfe website, though trying to buy tickets there is difficult. I went in February and had no trouble buying tickets at the station right before boarding the train.
When you arrive in Cuenca, there is a bus that takes you from the AVE station to the "new town," which is below the old town of Cuenca (where all the sights are). The bus was waiting in the parking lot of the AVE station when my train arrived. The bus costs 1.10€. The driver let me know when to get off to catch bus #1, which goes to Plaza Mayor, the center of the old town (my guidebook says bus #2 also goes there, but I can't confirm that). Bus #1 costs .70€, and it winds its way up the hill to Plaza Mayor. Once there, I popped into the TI, where they have a large, detailed free map of the town. There are also taxis available at the AVE station. If you have a group of 3 or 4 people, the taxi will probably cost you about the same as the two buses, and be a bit faster.
When it was time to head back to the station, I skipped the #1 bus and walked down the hill and into the new town, as the walk looked interesting on the way up (at any time, you can grab the #1 bus if you're tired or bored). On the way down, I took some short excursions down any stairs that went to the left (toward the river) and checked out the views of the gorge. I walked all the way to the first stop for the bus to the AVE station - it's not difficult if you're a regular walker - which is just past the little TI booth in town. I paid attention on the bus ride up, and was able to navigate back; if you're ever in doubt, just follow the bus stops for bus #1. The bus to the AVE station comes every 20 minutes. Depending on the day, there are four to five high speed trains back to Madrid between 4:00 to 9:30PM.
The two buses into town couldn't have taken more than half an hour, if that. You might prefer to walk uphill to Plaza Mayor on the way in. You can either start when the bus from the AVE station drops you in the new town (just continue in the same direction as the bus), or take bus #1 until it reaches a small bridge over a river - you'll see the hill of the old town of Cuenca on your right. From there, the walk up is perhaps 15-20 minutes.