Once I saw a computer simulation (a FEM simulation more specifically) of how things might go wrong and it is not a method I personally would recommend anyone.
If it goes wrong, it might be awfully wrong (even considering railway decapitation, which is the most reliable version of the method). In one of those scenarios the train would kick you out of the rails and leave you badly hurt because of the complete lack of control one has at the time of crash.
Compared to other methods the problem with a train is that you can exert zero control on the agent which is going to kill you. Just compare it for instance with hanging, where you can adjust rope tension and even hesitate if you decide to go back in your last moments, yet still it is a deadly and reliable method.