Robbing the Annesburg train when you get to the tunnel is probably the best method to rob a train, due to the great reward with little to no risk, as you never get a bounty upon completing it. However, the main drawback is if the player wants to rob the train again taking the same route, the train would not move and remain stationary, so they would have to take the train to Saint Denis first, which is a much longer ride and only makes robbing the train more tedious. This issue fixes itself, but it takes about a good half hour or so of your real life time before it can move again.
I, however, accidentally found a trick that lets you rob the train without having to wait out the time AND the long ride.
Things you’ll need: a fast horse, x2 dynamite, a gun, that’s it ^^
After finishing up your robbery in Annesburg train, go to any train station and take the train to the Annesburg station. After that, save right there on the spot, then load that same save. Once you’re loaded in, you’ll see that the train is moving and won’t stop moving, so IMMEDITAELY whistle your horse over, chase the train and jump onto it. Now that you’re on the train, just wait until the tunnel spot and rob it again and get yourself some easy cash