Essex steam train is always a good time. I met one of the engineers at a family party earlier this year.
Check out the Saybrook special some time. This is a free train on I think Sunday mornings which heads south to Old Saybrook and then returns to the station before doing the normal train trip. You do need to purchase a regular train ticket.
There is also the Gillette Castle tour. You get off the train, walk about a half mile down to the river and catch the river ferry ($2/person extra) to the other side and hike up to Gillette Castle. The hike up to Gillette Castle was absolutely miserable. We picked a hot day in July or August and its a steep up hill battle. If your not up for the hike, you can take your car over the ferry or drive up to Haddam across the swing bridge and GPS your way to Gillette Castle.
