The purest enjoyment of life - be a RailFan.

all trains cannot be terminated at New Delhi, because of capacity constraints. There are 4 main stations in Delhi, which are almost at a 5km radius of New Delhi.
New Delhi - for Eastbound trains.
Nizamuddin - for Southbound trains.
Old Delhi - for Northbound trains.
Sarai...
more...

Rohilla - for Westbound trains towards Rajasthan, Gujarat.
There are many exceptions to the above of course. For example, many prestigious trains like Rajdhani, Shatabdi, Tamil Nadu Exp., Karnataka Exp., etc. still leave from New Delhi.
But all the 4 stations above are being used to balance out the traffic.
You don't have to worry about Sarai Rohilla. It's a pretty good station which is only about 4 km from New Delhi. Also, it is less "touristy", so you won't have to deal with all those trickster tourist package people and auto guys trying to take your money.