Most frequently on.is used.

To me, "on the train" suggests that you're travelling ( by train ). "in the train" seems possible, if the train is considered a location (e.g. the police are looking for evidence in the train).

eg.

I am on the train from Paris to London.

I am in the train entertaining and panhandling the other passengers.

To me, "in the train" or any form of transportation may be possiblle only by the content deemed as required. Under normal circumstances, the prep used is almost always " I am on a cruiseship ..." (bus, plane,ferry, and lastly, the train)