In the last couple of years, I'd been developing an interest in trains and in photography, so it seemed only natural to combine the two. They're usually around, and sometimes different (depending on where you are), so it doesn't require too much travel to get some variety, and even the same spots will be different from day to day. Try saying that about an old building or something! There's also more of a challenge with trains (at least, with trains on the move); you don't have the luxury of being able to do much to set up the scene, and you only have time for a couple of shots before it's gone right by you.
As others have said, it's nice to have a photographic record of the way things are today, so that in the future, I (or others) can look back at "the way things used to be."
Another lesser reason, that only applies to certain type of train/locomotive, is for reference for modeling. Sometimes, the photos you can find on the Internet don't quite highlight the area or the specific unit you want.
Overheard in NY Penn: "All aboard! Get on the train if you're coming with us!"