I am from Egypt and I am going to Lyon for a conference which will finish on 27th of March. I need to go to Milan for a short visit after the conference. Is there anybody knows the best way to do that?
The train is a bit faster, but also more expensive. For the day you mention, prices start at 48 EUR.
Easyjet used to operate between Milano Malpensa and Lyon. But they stopped the route a few days ago. But given the prices for bus and train, flying is hardly competitive, if you take into account transfers to and from the airports. The case of Lyon is e.g. handled in this disussion.
If you are flexible, you might also consider ride-sharing, "covoiturage" in French. You can have a look at covoiturage-libre.fr or BlaBlaCar. If in addition you are adventurous, hitchhiking might be an option. Flexibility is required for both these options, as there is no guarantee that you will find a ride on the exactly the date you specified or to the place you want.