Well you need to look at what the arduino can source power at, and look at what you are trying to control on the train set to see if they are compatible, both volts and amp wise. Typically, to do anything but drive a led, or ttl level components, which I doubt the train set is, you will need to develop either isolation relay or triac interface between the arduino and the real world devices on the train. On the input side, again you are working with 0-5v analog on the arduino, so you may need some voltage division resistor network to get the voltage down to a range you can read.
We have our breakaway bot running on an arduino, and if you look at the picture, on the left you will see an eight relay interface board that we use to control the solenoids at 24vdc and the compressor at 12vdc.
http://www.mcbride4.org/wp-content/u...-55-33_765.jpg
Also some trains run on ac, so you may have an issue there too.