You could get a folding bike. There are quite a variety of folding bikes these days in a wide range of sizes and price, and they are actually pretty nice bikes. For a lot of choice (cheap to expensive, big wheel and small), check out Dahon http://www.dahon.com/, or if you want a really high-end folding bike that folds down really small, Brompton is the way to go http://www.brompton.co.uk/. There are a few other brands as well, like Bike Friday http://www.bikefriday.com/.
My father commutes to work by bike, but he's moving overseas for a year, and will be living too far from the office to bike the whole way. He just bought a Brompton for just that purpose; he can ride it to the train station, fold it up, take it on the train, then unfold and ride to work.
If I had a bit of a longer journey post train it'd be a good idea, but it's under 5 minutes from the station to office. A commenter below suggested locking it up at the station I leave from (which I was a bit hesitant about) but I might try it that way.
Some of those do look pretty nice though, I remember seeing the first folding bikes and it looked like people riding clown-bikes, they've definitely stepped up the quality levels.
One of the nice things about the Brompton is that you can partially unfold it (just raise the handlebars), and roll it along behind you like a cart. So if the train->office trip is too short to bother unfolding it, riding it, and folding it up again (though those are really quick, they take about 15 or 20 seconds), you could just raise the handlebars back up and walk it up to your office.
Watch the video I linked to, or skip to the last 5 minutes or so; that's a Brompton (slightly modified, the seat and seat tube usually stay attached), and you can see how quick and easy it is to unfold the bike and ride off.
My father commutes to work by bike, but he's moving overseas for a year, and will be living too far from the office to bike the whole way. He just bought a Brompton for just that purpose; he can ride it to the train station, fold it up, take it on the train, then unfold and ride to work.
Here's the video that really sold me on folding bikes: http://www.youtube.com/watch?v=LndpgmPLW-0