It would depend on how much travelling you want to do. If you are only going to travel infrequently, then it is probably cheaper to buy from the station for your specific journey. If you are planning on zipping all over Italy (and possibly into France etc), then buy in advance.
Check at www.seat61.com which is a great website for all train travel. almost 8 years ago
Trains in Italy are pretty cheap for short journeys. My advice for Eurail passes is use them for long trips. Good rule of thumb is about 30-50€ or more (depends on your pass) you should use a Eurail pass and it will be cheaper than buying the ticket.
If you are hopping on a regional train from Verona to Venice it will only cost 7€ so using the Eurail pass (if that is the only trip you are taking that day) will turn out more expensive, because you use up one of the days in your pass.
If you want to travel from Napoli to Venice however that is a totally different story. If you have an Italy pass, you should use it as much as you can within a calendar day (or including as far back as 7pm the previous day if it is a night train)
So hop on a train from Napoli to Rome (get it stamped for the first time here) and then get your connecting train from Rome to Verona and then hopefully get onto a connecting train from Verona to Venice. Do that in one day and your Eurail pass definitely pays for itself.
Niko almost 8 years ago