" is correct. " is okay, less often heard than the above. " is awkward-sounding.
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"I left the station by the west exit." is correct.
"I went out of the station by the west exit." is okay, less often heard than the above. "I went out of the west exit of the station." is awkward-sounding. You'd typically use "went out" rather than "left" if you're trying to give stylistic emphasis to your leaving - "went out" would be more emphatic-sounding than just "left." For