...but it's actually very safe! And yes, NASA has a railroad. It's been around since 1963, actually—so apologies to space nuts who've known about it for a while—but only recently has the agency uploaded an expose to YouTube.
Seriously, though, this train takes huge, volatile rocket booster segments and fuel from Utah to the Kennedy Space Center on specialized railroad cars, and has been doing so since 1963. It's been upgraded since then, of course, but the goal remains the same: Take those boosters and fuel from where they're processed, refitted, fixed and manufactured, and get them to the launch pad in Florida.
Sadly, the last rocket load was moved in May 2010, in preparation for the final space shuttle flights (beginning with Discovery earlier this month). That said, the railroad will continue to serve NASA in other ways, officials say in the video, which we hope to mean future manned and un-manned space missions. [Tom's Astronomy Blog]