My grandma used to sing us:

"Down by the station
Early in the morning
See the little Pufferbillies
All in a row
See the little driver
Turn the little handle
Puff Puff! Choo Choo!
Off we go.

I am curious to find if there are any earlier references of this song before the 1930's reference cited in this thread. My grandmother was born in 1916. I know that my grandmother's parents sang to her a lot and I am trying to decipher if this could have been one of the songs they sang to her.