Look at your map and locate the nearest train station. Mark it and go to the train station. Wait for a train to stop in front of you. When it stops, go to the front of it and press Y to hijack it. Once inside, hold A to go forward. Once you start going fast enough, your controller will start to vibrate. Keep holding A and eventually you will derail in slow motion, and either flip over or glide to a screeching halt.