The Railway museum of Hungary is found somewhat out of the centre of Budapest. Its apparently reachable by train from Budapest Nyugati station, but details on this seemed hard to come by so I ended up jumping on a tram to get there. Again, Google Maps is your friend.
The highlight here, besides several working turntables and being able to climb on board a number of the engines, was a restored dinning car from the Orient Express, although I was only able to see this from the outside. The museum, and Nyugati station also have details of when they run mainline steam services if that floats your boat.