Try to travel light. The lighter your luggage the more flexibility you will have in your travel. Traveling with 50+ pound bag can get old quick. While train platforms at the newer train stations usually have escalators and elevators available to get to and from the trains many of the older stations do not. At the older stations, to get to your train platform you will need to take your luggage down stairs, transverse a tunnel under the tracks and then lug your luggage up stairs to your departure platform. When getting on the trains there can be a high step up; when maneuvering large, heavy, and multiple bags this step up can be difficult for some.
RENFE has instituted security controls in passenger boarding of many of their trains. Boarding a long distance train at the Madrid train station is a lot like going through security at an airport. Luggage will be x-ray, you will be expected to load it on the conveyer belt.
High-speed and medium distant trains basically have the same weight and size limitations for carry-on luggage but commuter trains (Cercanias) have more limiting luggage restriction (see info below). Even the AVE trains do not appear to have a checked luggage service. On those rare occasions when a train is is fully loaded with passengers luggage storage space can become scarce. While luggage restrictions appear to be rarely enforced by REMFE, if your luggage needs exceed the guideline, you might better be served by using air travel for your long distance travel.
AVE (high-speed train) - In my experience, there are usually three places for luggage storage on AVE trains. luggage, equivalent to a small airplane carry-on, can be stored above your seat with larger luggage places in the luggage compartment at the end of each train. A little room for bag storage can be found under the train seat. There is a limit of three carry on bags per passenger (includes your hand bag) with the total weight of the luggage not to exceed 20 kg. (44 lbs). RENFE also limits the size of your three pieces of luggage, they are not to exceed 250 cm ( 98.4 inches) length+width+height
AVANT and other medium distant trains - do not have a luggage check-in service. Up to two pieces of luggage is allowed per person. Luggage compartments are at the end of each train on the AVANT, on other trains you might find the luggage storage in the center of the train. Weight limit is 20 kg. (44 pounds) for all luggage combined. The dimensions of the luggage can not exceed (length+height+width) 250 cm (98.4 inches).
Cercanias Trains (local commuter trains) - Up to two items of carry-on luggage allowed, there is no check luggage service. Largest luggage size allowed is 70 x 50 x 25 cm (that's 27.5 by 19.7 by 9.8 inches)
Transporting your bicycle by Train in Spain - Yes, you can actually transport your bicycle on Spain trains but here is the kicker, it is at the discretion of the staff. If the train is fully booked and no place to put the bicycle you will be asked to take another train. One bicycle is allowed per paying passenger If your group has more than three bicycles to put on the train you must get prior authorization from the train authority.
Luggage storage lockers are available in the major train and bus stations. A small locker runs around 2.50-3 euros per day, a large locker will be around 4.50-5 euros. Madrid, Seville and Barcelona have locker facilities in their train stations, do expect your luggage to be scanned or searched prior to placement in the lockers. Many train luggage lockers, such as the ones in Cordoba, have been closed for security reasons. If you arrive at a train station, where no luggage lockers are available, check to see if a bus station is located near by, they usually have a limited number of lockers. For example the bus station in Cordoba is an easy walk from the train station, the bus station does have lockers but, they are smaller than train station lockers. Make certain you have lots of change and be aware lockers are limited; you need to be the first off the train to get a bus station locker.