They might be better described as "Abandon All Hope Ye Who Enter Here" Trains
Here's a good example of the !!fun!! they (and many, many other nasty things) can bring:
http://www.arcengames.com/forums/index.php/topic,15435.0.htmlTo answer the question, basically:
1) The game seeds a bunch of train stations on AI planets at the beginning
2) At various train stations a group of trains will spawn
3) When a group is idle it picks a new station and paths there
4) If they path through your planets (or in some cases through a planet you're attacking) they can be a ton of pain. Most of them provide planet-wide buffs/debuffs like munitions boosting or gravity or supply interdiction, etc. On the higher intensities there are EMP trains and even Nuclear trains.
5) There are also cargo trains, which I intended as the most innocuous kind since they don't attack you directly, but each station they reach they contribute to that AI's building of something special, like a superfortress or an exo to send after you. This can often be the most dangerous part, ironically.
Basically if you're prepared to get seriously trolled by the trains they're fun, otherwise it's best to leave them off
I do plan to revisit them (again) but there are more pressing things for now.