Please don't forget to come pick me up at the station.
Literal
Not-forget-[without-ず] station [up-to-まで] pickup-[purpose-に] come-[polite-request-てください]
まで marks the endpoint of motion: 'as far as the station'. Compare with に, which would just mark the location. まで emphasizes the full journey to that point — it matters that you come all the way there, not just in the direction.