As JR has already mentioned, there is a small museum at the Chautauqua County Fair Grounds. The highlight is a Brooks-built 0-6-0, #444 built for the Boston and Maine Railroad in 1916, later serving the Fletcher Granite Company in Massachusetts.
For more information, check the link:
http://www.s363.com/dkny/display.html
Dunkirk was quite a railroad city at one time. The original western terminus of the New York and Erie Railroad (when Dunkirk was projected to become a major Great lakes port in the early 1800s), it also was served by the New York Central, Nickel Plate and Pennsylvania, the latter operating between Buffalo and Oil City, PA, with the line joining the NKP at Brocton.
The Dunkirk, Allegheny Valley & Pittsburgh originated here, heading south through Chautauqua County, making it only as far south as Titusville, PA, many miles short of Pittsburgh. Dunkirk was also home to two locomotive builders-the aforementioned Brooks (later Alco-Brooks) Locomotive Works and Dunkirk logging locomotives.
Union Pacific's famed 4-12-2's were built in Dunkirk. Somewhere in my "impeccably maintained" archives I have a photo of a 4-12-2 that was supposedly offered to the city fathers of Dunkirk for display when the locomotive was withdrawn from service. As with most politicians, regardless of political stripe, they failed to see the value of what had been offered to them and turned the UP's generous gesture down.
Well, I suprised myself and actually found the article on the first try. Titled "The Big One That Got Away" from the Jamestown (NY) Post-Journal, November 17, 1984.
"Above, the Union Pacific's 9000 makes its last run April 12, 1956, hauling 100 freight cars from Omaha, Neb., to Cheyenne, Wyo. The engine carries white flags, indicating it is a Special. The next day this locomotive was taken to the shops, where it was overhauled, repainted and fitted out for delivery to the City of Dunkirk. The Union Pacific offered it free to the city, with freight prepaid. Unfortunately, the City Council turned it down. It was then given to the Southern California Railway and Locomotive Historical Society and is now on display in the Los Angeles County Fair Grounds at Pomona, Calif. This locomotive, a three-cylinder, 4-12-2 was built for speed and power at the Brooks Works of the American Locomotive Company in Dunkirk in 1926. The Union Pacific was so pleased with its performance that they ordered 88 more of them. This was also Alco's last big order in 1927." Louis Van Wey, President emeritus, Historical Society of Dunkirk.
Incidentally, the last locomotive built by Alco in Dunkirk was a tank engine for an Oregon logger in 1930.
Sorry to have strayed so far from the original topic but thought some of you may find this of interest.