A few that I do not think were mentioned yet:
The Long Grey Line (1955) - features West Point Station and NYC passenger equipment but makes use of a re-painted CNJ Camelback *This is a Must Watch Film!!*
The Garden Railway (2001) - Mark Found shows us how to build a garden railway in his backyard and takes you to other beautiful garden railways (Free on Youtube)
Michael Palin's Great Railway Journeys: Derry To Kerry (1993) - Palin travels from Derry in the North down to his ancestral homeland of Kerry in the South of Ireland (Free on YouTube)
Close Encounters of The Third Kind (1977) - At 14:40min, there is a model train layout
Jean Shepherd's America: Trains (1971) - WOR Radio Host, Jean Shepherd tells stories from his life related to trains (Free on YouTube)
Ghost Hunters (TV show) - They had several episodes where they visited supposedly haunted railroad based locations
Midnight Limited (1940) - The Phantom Robber gets a fortune in jewels and some valuable papers from a robbery on the "The Midnight Limited" train (Free on YouTube)
Michael Wood - Great Railway Journeys (1970s) - My favorite is his Cape Town to Victoria Falls episode (Free on YouTube)
Tracks Ahead (1990-2015) - A show just about real and model trains! I am very surprised that no one has mentioned this yet (Included with Amazon Prime)
Railroad Alaska (2013-2015) - Reality/lifestyle show about the lives of off-grid settlers who live along the Alaskan Railroad, and the Alaska Railroad's workers
Buckskin Frontier (1943) - A railroad man and the owner of a freight line battle for control of a crucial mountain pass (Free on YouTube)
Have Steam Engine Will Travel (2013, 2018) - A father and son team travels the country with their restored steam engines, American history and humor all in one (Included with Amazon Prime)
Train Quest (2001) - A model train geek's date with his dream girl suddenly derails when a sinister hobby store owner shrinks and imprisons them in an elaborate, unearthly train set. (Free on YouTube)
The Bullet Train (1975) - Japanese Movie w/ English Subtitles - Criminals plant a bomb on a high-speed train. It will explode when the train slows down, unless a ransom is paid. (Free on YouTube)
Nights train to Munich (1940) - An inventor and his daughter are kidnapped by the Gestapo and a British secret serviceman tries to save them and get them to neutral Switzerland (Free on YouTube)
The Great Train Robbery (2013) - Based off the daring train robbery in 1963 in which £2.6 million was stolen from a Royal Mail Train (Free on YouTube)
The Saint (1962) - several episodes including the pilot episode have appearances of trains. (All episodes are free to watch on ShoutTV)
Michael Palin's Great Railway Journeys : Confessions of a Trainspotter (1980) - Palin fulfils his childhood ambition to travel to the Isle of Skye by train (Free on Youtube)