Not meaning to stray too far from the topic of trains, are there any fans here of the 2002-2005 HBO series 'Carnivale'?
It was perhaps too dark for certain viewers at the time; I felt it was a great look into life during the 1930's depression from the viewpoint of a traveling carnival and a California minister trying to serve the migrant community.
It is available on DVD as well as HBO on demand and Hulu.