Укажите, пожалуйста, дорогу к вокзалу.

Breakdown of Укажите, пожалуйста, дорогу к вокзалу.

к
to
пожалуйста
please
вокзал
the station
указать
to indicate
дорога
the way
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Questions & Answers about Укажите, пожалуйста, дорогу к вокзалу.

What part of speech is укажите and why is it used in this form here?
Укажите is the formal (or plural) imperative of the verb указать (“to indicate, to show”). Russian imperatives change their endings depending on whether you’re speaking to one person with whom you’re on informal (“ты”) terms (–и: укажи) or formally/to multiple people (–ите: укажите). Here, we use укажите because you’re politely asking a stranger (or group) to show you the way.
Why is пожалуйста placed between commas in Укажите, пожалуйста, дорогу к вокзалу?

Пожалуйста (“please”) is an interjection or parenthetical in this sentence. Parentheticals are set off by commas in Russian. You could also place it at the very beginning or end of the sentence without commas:
Пожалуйста, укажите дорогу к вокзалу.
Укажите дорогу к вокзалу, пожалуйста.
All three versions are correct; commas simply mark пожалуйста as an aside.

Why is дорогу in the accusative case?
The verb указать takes a direct object in the accusative case. You’re indicating (“showing”) что?дорогу. Since дорога is a feminine noun, its accusative singular form changes from дорога (nominative) to дорогу.
Why is к вокзалу using the preposition к plus dative, rather than another preposition?

In Russian, to express movement toward a place’s vicinity (getting near it), you use к + dative.
к вокзалу (to the station) – you’re asking to get close to or reach the station.
If you meant entering the station building, you might use в вокзал + accusative, but native speakers usually say к вокзалу when asking for directions.

Could I use a different verb like покажите or скажите instead of укажите?

Yes.
Покажите, пожалуйста, дорогу к вокзалу. – “Show (point out) me the way.” Emphasizes physically pointing.
Скажите, пожалуйста, как пройти к вокзалу. – “Tell me how to get to the station.” Emphasizes a verbal explanation.
Укажите is slightly more formal and neutral, meaning “indicate” or “specify.”

How would I make this request informal when talking to a friend?

Switch the verb ending to the informal ты-form and you can keep or drop пожалуйста:
Укажи, пожалуйста, дорогу к вокзалу.
Укажи дорогу к вокзалу.
Or use скажи/покажи in the same way:
Скажи, пожалуйста, как пройти к вокзалу.
Покажи дорогу к вокзалу.