I prefer the trains, a smooth ride for the most part and more room to move around. Downside is that Albufeira's railway station is nearly 4 miles from the town. I can catch a bus to and from the station but that might not suit you, depending on where in town you are going. Coaches are much more frequent and, as you say, usually cheaper than trains especially if you leave booking until the last minute.

Flixbus go from Lisbon Oriente and their stop in Abufeira is the Avenida Da Liberdade in the old town. They are non -stop other than a brief halt at a motorway service area. Although the actual journey time with them is 2hrs 45 minutes, you must add at least 30 minutes to get from the centre of Lisbon out to Oriente and find their stop in the big outdoor bus station there.

The other company, Rede Expressos, run most of their journeys from Lisbon Sete Rios. Their Albufeira  stop is the main bus station, which is a mile or so from the old town or 'strip' areas. They are mostly non-stop except for the brief halt at a service area.

Last train down from Lisbon to Albufeira is 1832 from Oriente, 1840 from Entrecampos and 1844 from Sete Rios. with arrival in Albufeira at 2139.

There are two coach companies with services until 0100. Rede Expressos use both Oriente and Sete Rios bus stations and they go to the main Albufeira bus station. Flixbus only use Oriente, which is 9km / 6 miles from the city centre, but their stop in Albufeira is in the old town area, Avenida da Liberdade - the little bus station.

If I wanted to go on the 1930 or 2030 Rede Expressos service to Albufeira in two weeks time, they currently have some tickets at €3,95, no exchange, no refund. The standard fare is €20. Flixbus has similar demand-led prices. The sooner you buy, the less it will cost. However, Rede Expressos only sell tickets 30 days in advance.