Good question. If the station's name is "Central Station", then you need capital "C" and capital "S", and there is no article. It's like "Paddington Station" or "King Street Station". e.g. I'll see you at Central Station.
If you are referring to the station which is in the centre of town, you can describe it as "the central station". This needs "the" because it's the only one, and no capitals, because the words are an ordinary adjective and ordinary noun (like "the big restaurant"). e.g. I'll see you at the central station.