It depends on where you go, the platforms at busy stations are patrolled by security or have surveillance cameras, and they can't understand that photography is an art, they see someone with a camera and the first thing that comes to their mind is terrorist. The cops aren't that bad, but transit cops and security guards will jump at the chance to be a hero to protect the public from someone before bothering to see if that someone is actually a threat.
I mainly stop in nice areas along the line. I'm not just trying to get trains, but trains against interesting backgrounds. My favorite locations are old bridges where I can get a freight train crossing over a river with the woods behind it, things like that. Most people who photograph trains tend to just focus on shooting the locomotives, but I like to get as much of the train in the picture as possible.