Hidepon Works' gas turbine train makes other model trains look like pussies. Of course it's not the first gas-powered train, but it's certainly one of the finest, modeled after a typical Japanese subway choo-choo.
There are a bunch of videos on Hidepon Works' YouTube account, but check out this one of it steaming ahead:
Choo-choo! [Hidepon Works via GizMag via OhGizmo]