One of my very favourite train journeys is the trip from Montreux to Château d'Oex.
Sadly you are just a few weeks too late for the Hot Air Balloon Festival, but it's a beautiful trip and Château d'Oex is a lovely village - especially at this time of year with all the snow.
If you like travelling just for the fun of it, and if you enjoy hot chocolate, then I recommend going to Villars-sur-Ollon and having a hot chocolate at the café La Gourmandine. There's not a lot else to do there, but the hot chocolate is really wonderful. Here's a http://victorialouisehill.com/wordpr...ars-sur-ollon/
I wrote about one of my trips there.
A little later in the year, you could travel up to Les Avants to find the wild narcissi, which are a beautiful sight.
Finally, (for a suggestion outside of Vaud) I really enjoyed visiting the Saint Beatus
caves, near Interlaken. IT's a great trip - you travel by train, boat and bus from Vaud... and the caves are beautiful. They offer guided tours in English too.
Have fun exploring!