Favorite train theme of all time? That's easier than I thought -- "Scenery Called 'Everyday'" from Wild ARMs 3. It doesn't technically play on a train, but shows up at every station. The western guitar, the breezy flute piece, some hand-picking thrown in there... Truly, the best part is that it also shows up as some town themes. Heck, probably my favorite town theme ever. Go look it up on Bluelaguna or something if you've never had the pleasure.