Symbolism, Imagery, Allegory
The Sunset Limited is a real train. However, it's not a commuter train operating in New York, as in the play—it runs from New Orleans to California. Since the sun sets in the west (the destination of the train), symbolically dying every day, the Sunset Limited operates as a metaphor for suicide. That and it's the train White tries to throw himself under.
Black uses the train as a way of discussing our cosmic destinations: whether we're going to take the ordinary train, shuffling back and forth between work and home and generally living a non-suicidal existence, or take the express and try to opt out. Check it out:
BLACK: But they might be one commuter waitin there on the edge of that platform that for him it's somethin else. It might even be the edge of the world. The edge of the universe. He's starin' at the end of all tomorrows and he's drawin' a shade over ever yesterday that ever was. (87)
The earth is a kind of way station, in Black's eyes—it's a place before our final destination, whether that destination is the "most excellent world" (heaven) or something else, some kind of oblivion or hell. Earth is a way station of sorts for White, too, it's just that he doesn't see the purpose in sticking around and would prefer to get on to the next stage, which he's certain is nothingness.