The award winning documentary Riding the Rails about teens in the depression.
Maybe early Scorsese - Boxcar Bertha had plenty of railway moments.
The Titfield Thunderbolt (1953) Villagers start their own steam train service when British Rail cutbacks close their station. 
From Russia With Love has quite a large section set on the Orient Express.
Lawrence of Arabia isn’t set on trains, but they blow up enough of them!
The Wild Bunch has a couple of sections involving train robberies and the like…
The Little Rascal’s Choo-Choo mined the comedic possibilities of the old Pullman sleeper cars better than most other movies that come to mind (Jack Gilford’s Cracker Jack commerical excepted), as well as featured a common sight from the Great Depression: kids traveling alone with cardboard tags hung around their necks.
Pity nobody’s made a movie of Robert (Psycho) Bloch’s short story Hellbound Train. Or maybe it’s a good thing, since they’d put Jim Carey in it.
4 great actors…don’t forget the “Ahab” warden!
Galaxy Expres 999, an anime movie about a boy who wishes to travel to the planet La Matel to get a robot body so that he can kill the robot who hunted and killed his mother. Apparantly exists in the same universe as a number of other animes, including StarBlazers and Captain Harlock.
Under Siege 2: Dark Territory, about a guy who plans to use a satelite-based nuclear weapon to blow up the Pentagon, triggered from a passenger train. Unfortunately for him, former Navy Cook Casey Ryback happens to be traveling with his daughter, and doesn’t take kindly to criminal masterminds sharing his mode of transportation.
The Polar Express, a very good CGI kid’s movie with Tom Hanks about a train that picks up kids in the middle of the night and spirits them away to the North Pole, most likely without their parents’ permission or knowledge. Also features some mad leet hole punching skills.
Another anime mostly on a train is Ginga-tetsudo no yoru/Nokto de la galaksia fervojo de (known in English as “Night on the Galactic Railroad” – those original titles are Japanese and Esperanto). As a tribute to that, a train also appears in Sen to Chihiro no kamikakushi (“Spirited Away”).
This far and no one’s mentioned The Cassandra Crossing?
Ok, maybe it’s not Great, but it is a train movie.
There’s also **Atomic Train ** with Rob Lowe (complete with nuclear blast!) and the last part of Broken Arrow, with a nuke (but alas, no blast, although there was one earlier).
I have to agree with Robot Arm - **The General ** is an education in what you can do with a train.
Loved this move. My dad took me to see it when I was 7. Scared the crap out of me but I sit down to watch it whenever I catch it on.
I’m not surprised that no one has mentioned Under Seige 2: Dark Territory but it was set on a train.
If you’re really lucky, TVLand might show an ep or two of the 1979 one-season wonder Supertrain!
It occurs to me I’ve never seen a film or TV show set on a high-speed train – like they have now in Europe and Japan. Wonder why not?
???
My own candidate: Horror Express, a Hammer movie about a 'demon" who gets loose on a Siberian train. Pretty cool. Has Telly Savalas as a half-mad Cossack.
Oh, geez, yes, The Narrow Margin. Marie Windsor’s finest hour. What a sexy tough gal.
What’s the one where there’s two hoods terrorizing a subway train? It was made in 60’s I think, in that gritty New York style. A couple of famous actors & a director early in their careers.
Isn’t there a new one coming out – Snakes on a Train?
Travels With My Aunt also features the Orient Express. AMG doesn’t rate it very highly, but I found it entertaining.
It’s been mentioned. The Taking of Pelham 123.
I’d like to second From Russia With Love. Two other Bond movies feature trains prominently, but to much lesser effect. “I’ve led a particularly fascinating life.” Wotta movie!