I was in Cascais in late May 2011 for a work seminar, and really liked the place. It's a really nice beach town, half an hour by train from Lisabon.
Nice beaches (hotel Albatroz is the big white building in the back).
Harbour with working fishermen
I would like to come back here for vacation and combine Lisabon and Cascais. This place has a very relaxed atmosphere (might be due to the nice Portugese people living here), nice beaches, cute town.
Great boardwalk along the beaches
I stayed at a conference hotel, and wouldn't choose it again, but I had dinner at a hotel in town, served on the deck at a cliff above the see... This is where I'm staying when I go back! Check the photos on the web site, and get an ocean side room (its expensive, I know, but what a treat!). Hotel Albatroz http://www.albatrozhotels.com/en/hotel-cascais.php
Whenever I get back here, I'm also going to visit Sintra http://www.portugalvirtual.pt/_tourism/costadelisboa/sintra/