Shimokitazawa is on the Odakyu and Keio Inokashira train lines, just a quick hop from Shinjuku and Shibuya respectively. Most of the action is around the South Exit.
Sangenjaya and Futako-Tamagawa are on the Tokyu Den-en-Toshi train line from Shibuya. Komazawa-Daigaku is also along this line and near Sangenjaya, and the Komazawa University campus is a few minutes from the station.
Jiy?gaoka is a transfer point for the Tokyu Toyoko and ?imachi train lines. The Toyoko Line is your best bet for getting into the southern sections of Setagaya from Shibuya or Central Yokohama. The ?imachi Line, which originates in ?imachi near Shinagawa, continues northward from Jiy?gaoka to Futako-Tamagawa to meet with the Den-en-Toshi line