Volokolamsk is considered the oldest town in the Moscow Region. First mentions of Volokolamsk date back to 1135 making it 12 years older, than Moscow. Original town emerged near important portage (volok) from Lama river to Voloshnya river and further to Oka on one of the north-south trade routes. During 12-17th centuries Volokolamsk have a lot of rush times, being under different russian and lithunian knyazes, tatars and polyaks, and destroyed several times during these times. With rise of Moscow after mongols invasion eventually Volokolamsk entered Moscow Principality and lost its own significance becoming a small manufacturing town. Currently it is famous by several centuries old landmarks in the center of the town, and a couple of glorious sights in it's vicinity.
Suburban trains reach Volokolamsk from Rizhskiy train station (trains at 9:31 and 18:24 start from Rzhevskaya station and pass Rishskiy train station, Dmitrovskaya and Tushino stations can be more convinient to change from metro). Trains to Velikie Luki and Riga also stop in Volokolamsk (both daily in the evening), there are also a weekend express train in the morning and daily in the evening. Tickets are 200 rubles from Tushino, 240 rubles from Rizhskiy train station and 400 rubles cheapest train tickets. Volokolamsk train station is located in the south part of the city, 7km south from historical centre, you would have to change to buses 5,28,31 or 50 to the stop "Gorod" (or look for the Volokolamsk Kremlin, which is easily spotted as it is high on the hill to the right of bus route).
Direct bus from Moscow to Volokolamsk center is 963 from Tushino to Starica (4 buses a day), the two others - to Volokolamsk itself and to Rzhev - reach only Volokolamsk bus station, which is still 2km to the south from the Kremlin. You can use local buses (above and 48 and 71) or walk from there. The car route from Moscow is along the New Riga highway (M9), which was first in the Moscow region built to satisfy contemporary standards all the way to Volokolamsk (2 lines on each side, wide divider and multilevel crossings). Currently (March 2012) renovation of highway is planned and jams in the first part of it are possible. The highway passes all the towns in the Moscow Region and crosses Volokolamsk at the bus station place. The other route, old Volokolamsk highway passes towns in the Moscow region (including highly jam-prone Krasnogorsk) and more packed with cars and turns.
Volokolamsk can be reached by M9 from the west, mind the extremely poor state of the road between Shahovskaya and Velikie Luki though. An alternate route through M1 and then R90 might be better.