Everyone had their own reasons for boarding the train. Well, now you're on it and you can't get off. The windows don't open and neither will the train's single door, located in the caboose, so you're stuck. You might as well make the best of it.
So what is there to do on a train that's constantly moving down the tracks toward who-knows-where? Well, you can get to know your fellow prisoners. There are people from all over the multiverse; you're bound to meet someone interesting. Failing that, you could always look out the windows at the scenery. It's always something different out each car's windows. There are a few that are set:
Out the dining car windows, one will always see the blackness of space, with stars zipping by far too quickly; out some of the other windows one will see a sprawling city reminiscent of urban metropoles, and out still others one might see flat grassy plains as far as the horizon. But it should be noted that one will never, ever see any living creature out any of the windows. And how fast is the train moving? The speed of what you see out the windows of one car may conflict with what you see in the next car up, so there's really no way to tell... except for when it's stopped to let people on.
What's outside the conductor's car at the front of the train? That's anyone's guess. There is literally an infinite number of cars stretching from the back of the train (where everyone boards) to the front, so you're not going to make it there. Ever. Have fun trying, though!
Noteworthy cars:
The caboose: This is where everyone starts. The exterior door will only open when the train is stopped, and the train will only stop if nobody is in the caboose. While the train is stopped, the door linking the caboose with the next car up will be locked; no escaping for you. Sorry.
The dining car: Two cars up from the caboose. Three times a day meals are served; what is served may vary from day to day, but there will always be at least something that each character can eat. We don't want them to starve, after all.
Infirmary cars: There are infirmary cars located intermittently throughout the train, every fifty cars or so. The first one is in-between the caboose and the dining car. They contain cots and NPC nurses who can administer basic first aid and patch up wounds.
The sleeping cars: There are sleeping cars located intermittently throughout the train, every twenty cars or so. The first is two cars up from the dining car. They contain beds and not much else.
Shower cars: The car directly in front of each sleeping car always contains showers, which are separated into stalls for modesty; each shower car also contains a handicapped-friendly bathroom stall. Normal trains don't have showers, but then normal trains don't trap their passengers for all of eternity, either.
Bathrooms: Are located in-between each set of cars. They're small and cramped, each containing one toilet, a sink, and barely enough room to stand.
Generic cars: There is a vast number of generic cars with... you know, chairs and stuff that trains tend to have. Some of them are front-facing, some are rear-facing, some face to the side... There's one car where gravity is inverted and the chairs are on the ceiling. Some of these cars have televisions which show nothing but late-night infomercials.
Other cars: That's up to you! Some cars stick where they are, and some change from day to day. What was a library yesterday may be a self-serve bar today. Use your imaginations. As more permanent cars are thought up by the players, this post will be updated with their descriptions and locations.