I think the Goldlok or Fast Lane "Express" sets are the best bang for the buck (if you get the sets at a good price that is).
I own the (GL) Western Express Spirit of Steam set, the (GL) Passenger Express set, and now the (FL) Patriot Express.
For all intents and purposes the two companies are one. The track is identical, and I'll bet the engines and all the cars are made in the same factory in china.
Picked up each one for around $25 USD apiece which included the postage.
There are subtle differences regarding the engine (usually the arrangement of the stuff on the very top, including the size and shape of the stack), and a few cars change up based on the set.
For example, the Western Express has a closed-top boxcar. The Passenger Express replaces the closed-top boxcar and gives you a second passenger car.
The Patriot Express is probably the weakest of the three, replacing the open-topped boxcar and the tanker with two flatbed cars (one with a sherman tank, the other an artillery piece). But I wanted some flatbeds to make my own sandbag & gatling gun cars to protect gold shipments!
It's all plastic, and the stickers can be pealed off before you repaint the cars to something more realistic. Being plastic, much easier to kitbash that "Deadlands" look.
These sets are all battery-powered, come with 14' of track (they form up into a largish oval), and heck, the engine makes choo-choo sounds and the light comes on!
All of these sets give you an engine and five cars.
BEWARE of sets that do not match those specs. I'm told there are some 4 car and 5 car sets that are in a different scale. I've also been told to stay clear of the Polar Express set. All the melted snow effects make everything hard to model for a typical western town.
These are not quite made for 28mm, but they are close enough, and cheap enough, they do the trick for a lot less than buying properly scaled vehicles (or going all out for an electric train). Oh, as an added bonus the track is very nice, with the wooden ties actually having a woodgrain that is easily brought out with some quick drybrushing!
Here's the exact Western Express train set I have:
auction
It's about $12 USD more than I paid for mine, but you may find the price a steal (plus your train could be on the way TODAY)!
Here's the exact Patriot Express set I own:
auction
But that is way too much to pay IMHO.
Hope that helps.