Well, first..I'm from Sweden so my English isn't the best...
This thing happened about 3-4 years ago when I was 12. I had my room on the first floor (now I have it in the basement). One night, it was 11.45pm exactly (I remember that) and I was half-awake. I looked at the clock to see what the time was. The clock was standing on my table in the front of my window. Exactly when the clock showed 11.45pm I heard a train coming (we are living in a big valley with lots off houses, and the nearest railway is about 1-2 miles away).
I froze and couldn't move with fear as I heard the train coming closer. Suddenly I heard the train on the little road which you could see from my window, I turned my head slowly to the window and through the curtains I saw some kind of strange light which disappeared with the train sound. It faded away like it came. I was so frightened that I didn't move or say anything until 00.35am (exactly). Well I didn't say anything then either, I screamed!!.
The next morning I thought about what happened to me and then I realized that it was not a modern train. It was the sound of an old train (maybe a steam train - such as you would see in one of the old Western movies). I told my parents about the train and they did not believe me, my mother said that I just heard a train on the railway 1 mile away. So I looked at the timetable for the train in my town. The last train that went through the station was at 10.40pm.
I never heard the train again. And I really want to know what sort of train this was, I would like to contact other people with the same experience. So please mailme if you had anything similar happen so we can try to figure out what sort of train this was.