The Ghost Train is a ghostly apparition that appears in Ghostbusters II.
The Ghost Train made a sudden appearance while the team was on the old railway tracks. In a panic, Ray and Egon quickly took cover while a stunned Winston froze in place while it flew straight through him. When it disappeared Egon believed he identified the train as being the old New York Central "City of Albany" that was accidentally derailed in 1920, killing over 100 people.
Egon asked Winston what the number on the train was but Winston was too petrified to remember the number.
Sadly what Egon says here is not based on any actual events. However, during the time frame of the 1920s there were a lot of derailings.
Also, many viewers have noted that the train pictured features a steam locomotive, baggage car, coach and a caboose. It should be noted that the train itself looks like a train from the mid 1800s instead of from the 1920s. Egon, probably in a moment of fear and panic, must have gotten the City of Albany train mixed up with another train that was involved in an earlier disaster before the 20th century.
Behind the Scenes
The Ghost Train evolved from concepts that led to the Titanic. Before it was settled, there was an idea for a ghostly subway train with rotting commuters.  The Ghost Train was added to the movie after principal photography had wrapped. The train was meant to add more tension, humor, and special effects to that part of the movie.  ILM was too busy to take on additional work. Apogee - under effects supervisor Sam Nicholson - was hired to create the Ghost Train. Ernie Hudson, Harold Ramis, and Dan Aykroyd did filming with interactive lightning at The Tunnel, a New York nightclub featuring a subway motif - several hundred feet of abandoned subway track. A 10K light was placed behind the actors and three to four air cannons were placed on them to blow their hair around. When the cannons blew Hudson's helmet off, the crew blasted the actors with a bright light in place of the train. 
There was no time to build a modern-day subway so an existing antique train was chosen. John Swallow, production supervisor, found the train. It was an eight-scale version and measured 25 feet long. The train was shot on a black stage at Apogee using a snorkel lens about an eight of an inch away in clearance all the way down the train. The train was stationary and rigged with steam and reactive lights by Grant McCune. The crew rheostated the lights so they could dial them up as the camera got closer. The resulting imagery of the train was rendered transparent then composited into the live-action plate. 
- Coincidentally, in the original film, a reporter commented on how his grandmother would tell him a ghost story about "a spectral locomotive that would rocket past the farm where she grew up."
- A cut level from Ghostbusters: The Video Game took place in a subway and involved the Ghost Train.
- On Cover A of Ghostbusters Issue #16, the Ghost Train makes a cameo in the background.
- Ongoing Series
- Eisenberg, Adam (November 1989). Ghostbusters Revisited, Cinefex magazine #40, page 33. Cinefex, USA.
- Eisenberg, Adam (November 1989). Ghostbusters Revisited, Cinefex magazine #40, page 23. Cinefex, USA.
- Eisenberg, Adam (November 1989). Ghostbusters Revisited, Cinefex magazine #40, page 26. Cinefex, USA.
- Eisenberg, Adam (November 1989). Ghostbusters Revisited, Cinefex magazine #40, page 22 footnote, 26. Cinefex, USA.
- Spook Central "Ghostbusters Fan Fest - Ghostbusters: The Video Game Panel" 33:45-33:53 10/4/19 Panelist says: "There was an Ellis Island level that was cut. Um, there was Ellis Island and a subway level with the Train."
- Winston Zeddemore (2016). IDW Comics- "Ghostbusters International #9" (2016) (Comic p.4). Winston Zeddemore says: "Been twitchy about goin' underground ever since I got run over by a Ghost Train."