Sintra is great if you like old palaces and gardens/parks like Monserrate or Pena Palace. The latter can be reached by foot from downtown Sintra.
Lisbon: if you go for just one day, buy a ticket for the Yellow Bus (hop-off, hop-on). It is also valid on the elevadores, city trams and city buses. We were very happy we could use public transport as we wanted, Lisbon being built on seven hills ...
Cascais and Sintra are served by the same bus company Scotturb, this company has what they call the touristic circuits that connect Cascais to sintra (route 403), the one that goes to Guincho (route 405-415, at least 1 per hour), and the ones inside Sintra (route 434 and 435). You have free bikes at Cascais, look for the BiCas stations.
To go to Lisboa you have the train, easy, cheap and very frequent. You have to buy a kind of electronic card (costs 0,5€) Viva Viagem for each passenger, that is also valid for every public transport in Lisboa. You have to charge it with valid tickets, and the most advantageous depends a lot on what are your plans in Lisboa in terms of public transports.
Hope you have enjoyed ;)
Svetakoska - You can walk it (along side the bike path) but it's a very windy area, so some days can be unpleasant.
64novpot, thank you very much for the wind-warning! I'll see how the weather goes.