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Where from most travellers are coming to Cappadocia from and How ?
By car after about 8 hours drive via Ankara, By Night or Day bus after about 11 hours journey or simply flying to Kayseri after 1 hour 15 minutes flight and taking either shuttle service of the airline with a small fee or private transfers or taxi. It will take about 1 hour from Kayseri to heart of Cappadocia. Turkish Airlines and Onur Air Air have daily flights more than one departure.
Pegasus Airlines will fly from Istanbul to Nevsehir which will cut the transfer time to 30 min.
Alternatively you can take the night train to Ankara and take bus fatrewords. You can sleep in the train comfortably if you buy a cabin.
By bus 4.5 hours to Nevsehir, than with smaller buses the company you travel will transfer you to Uchisar, Goreme, Avanos or Urgup. By car 3.5 hours, private transfer, 3.5 hours.
At the moment if you do not fly via Istanbul, you can take the bus ( 10 to 11 hours) or self drive about 6.5 - 7 hours. Roads are good and scenic. Hopefully, a direct flight will start from Antalya to Kayseri or Nevsehir Airports soon.
For the ones who visit Ephesus and want to come to Cappadocia, and do not want to self drive or take 13 hours bus ride ( altough bus links in Turkey is very efficient and buses are very modern 13 hours a bit over the edge ) Thanks to Sun Express ther are direct flight twice weekly from Izmir. Thursdays and Sundays in the morning from each direction. So Cappadocian travellers can also add Ephesus in their itinerary.
Note: You should be able to find a shuttle service from Nevashir (planes fly here as well) to Urgup, the most centrally located town in Cappadocia. There is conflicting information that there is not a shuttle service - you would need to get a taxi to the bus station (Otogaar) in order to get the shuttle service to Urgup. Book the Argeus tour shuttle or ask your hotel to book you transportation if you are coming through Kayseri. You do not want to get stuck.
Where to Stay
In terms of deciding where to stay, Urgup is a large town that is centrally located but not as charming as other locations. Goreme is closer to the open air museums and some other outdoor attractions, you should be able to get a shuttle here as well. Guzelyurt is too far out to stay. But don't feel that you should be limited to what is on Expedia. There are many charming pensions and guest houses throughout Cappadocia. There is a hotel in Mustaphapasha which is an old part of Cappadocia that was inhabited by Greeks and the architecture reflects this; it's called the Old Greek House
The sights in Cappadocia are widely spread out. If you rent a car it is easier to get around or a driver can help you reach these places. There is a shuttle servies that runs every two hours from Avenos (pottery, wine) to several valleys and to Urgup. But a driver can help you see more in less time.
Forgot to mention that busses leave from both Goreme and from Urgup. Metro is supposed to be the best one and it's comfortable. Almost all busses will transfer through Nevashir or Kayseri. So the bus you take from either location basically function as a shuttle.