A “train” refers to a group of players moving from one champion or world boss to another in rapid succession. So, the WB train will kill whatever WB has spawned, then move on to the next as soon as they’ve killed it. The Queensdale train is similar — everyone moves from one champion in the zone to the next in a set order. They’re great ways for quick, easy leveling and/or loot.
http://wiki.guildwars2.com/wiki/Champ_train