I would certainly prefer a rental car to train (echoing Maryrrf). If you really want to see the sights, a train is very limiting.

I think Art Brooks in Albuquerque would recommend the 'Turquoise Trail' from Albuquerque to Santa Fe and from there the 'High Road' to Taos. And west with stops in the Navajo Nation, etc. Can be traveled only by motor vehicle or horse.