Yep -- I had a similar problem with the 6-25600 and 6-25605 Canadian Pacific passenger cars. On one, the ground wire connection was bad like DC Mike described. I used a little bit of 400 grit sandpaper to remove some of the black paint, and tightened the screw, and that solved the problem.
One of the other passenger cars was much tougher to fix. The light was very intermittent -- flashing on and off a lot while rolling down the track. After lots of testing with my multimeter, I finally determined that there was a bad electrical connection between the two parts of the sprung truck sides in both the front and rear trucks. Evidently they were painted too well, and so I wasn't getting a good ground from the car body to the wheels and track. I had to do some significant dis-assembly and carefully scrape some paint in hidden areas of the truck sides, but after doing so the light in that car is now fine.