By overnight train from Belgrade (Serbia) via Skopje (Macedonia) to Thessaloniki (Greece). A video documentation.
More information and schedules:
Belgrade - Thessaloniki
Thessaloniki - Belgrade
Read more about this route in the new blog post written by Flo.
And in the same compartment with us was Judith and Markus on their trip around the world. Have a look at their blog Where is Toad.