A journey quite commonly made is Melksham to Oxford (and back) and you may have noticed my earlier post at
http://www.firstgreatwestern.info/coffeeshop/index.php?topic=17863 offering suggestions on minimising delays / missing connection opportunities at the TransWilts end. To complement that in answer to a correspondent, here is advice and comment about changing at Didcot for Swindon and the west
*** On travelling from Swindon to Oxford, changing at DidcotThere are many trains in the Didcot area, and because of their density and complexity, it is not possible for everything we would like to connect, nor for advertised connections to wait in the event of a delayed incoming train.
* Take the first available train to Didcot. The final destination will be London, but you should check that the one you're catching does call at Didcot, as only about a half of the trains do.
* At Didcot, take the first available connecting train to Oxford. This may involve a wait of up to 30 minutes; road alternatives will not be provided (unless there's a major problem with lots of Oxford trains missing)
Note - some route planners will offer Swindon to Oxford via Reading at a higher fare. Before you buy such a ticket, check whether there's a train arriving into Oxford a few minutes later with a Didcot connection at the lower (Didcot) fare.
*** On travelling from Oxford to Melksham via Swindon - changing at Didcot* Take the first available train from Oxford to Didcot. From there, take the first available train to Swindon and change there. Even if the journey planner suggests you wait at Didcot for a later train to Chippenham and change at Chippenham instead, my advice is to change at Swindon. That way you do not miss the Melksham connection if the train from London via Chippenham is running late.
Edit note: Minor typos corrected. CfN. 
