Besides the aqueduct, the Alcazar and the cathedral, the churches of San Andres and San Martin are worthy of a visit for their architectural features.
Travelling by train I found that there are two stations in Segovia, both quite far from the centre. The high-speed trains arrive at the Guiomar station (bus #11 to the aqueduct) while the slower, cheaper trains arrive at the old Segovia station (bus #8 to the Calle Colon).