Trains, like most forms of public transportation
refer, in dreams, to the rules and norms of society or the world you live in. How you interact with and feel about a train in a dream is often how you feel about these restrictions or guidelines.
Trains, specifically, are also about evolution and transformation, especially in a spiritual sense. Train dreams can be more personal than bus dreams, since they often refer to your own spiritual or psychic development.
Trains refer especially to inevitability. If you are on a train, there is little chance to get off while it is moving. Trains have rigid schedules to keep -- they are inflexible. Derailments, jumping off the train, or a wish to get off, feeling trapped in the train, can all mean a rebellion against this.
Sometimes, the train itself can represent the ego, as it moves through the terrain -- which can represent the unconscious. Think about the condition of the train -- is it run down? Well maintained? Does it rumble along the tracks? Or move smoothly? Also try looking out the window: Is it a barren landscape? Do you get the impression that it is dangerous outside? Is it night or day? Do you want to stop and explore the forest outside?
Also think about where you are going, and where you came from on the train. Do you feel confident you will arrive at your destination?
Remember that this is just the "official" interpretation. Your train could mean something completely different. And, of course, sometimes a train is just a train. :)