So far I have seen a couple of very good advices here, especially from TheDeep and YouWish99. The openers they described work pretty well. To answer your question: I would not immediately go
very direct ("You're the most beautiful girl I have ever seen"), as the girl might feel very uncomfortable with it. On the streets she can just walk away if she is not into you, but this will be more awkward for the both of you on the train.
Note that I am not an expert in direct day game. Ryan might have a different opinion on going direct in trains (:P) but judging from the other comments so far, a situational opener might be more suited here.
You can even make a more situational opener out of "do you know what time the train arrives at X station?" by faking a phone call and asking her during your call that question. After that you continue the call for about 30 seconds, in which time you can think of a sincere compliment about her bag/phone/clothes/whatever. And keep in mind she will listen to you talking on the phone for a little while, whether this is consciously or unconsciously, after you've asked her a question. Take your advantage out of that.
To be honest one of my favorite train pickups is from Before Sunrise. Keep in mind that you have to improvise a little with this one, as every girl has seen the movie. You might come off a little strong here, but instead of asking the girl to join you, a number close wouldn't be so bad, depending on the situation.
For those of you interested in the scene:
http://www.youtube.com/watch?v=8H5a--NyYcE
CHAT