Joe and Eddie go to the train station to try and stop Leonard Snart from leaving the city in episode 1x04 “Going Rogue”. Joe finds Laura Stone at the train station and warns her about Clive Yorkin in episode 3x12 “Untouchable”.
South Plaza Train Station
Cisco tracks Dr. Light to the train station and Barry confronts and ultimately captures her in episode 2x05 “The Darkness and the Light”.
Midway Auction House (exterior)
Ralph and Barry discuss the plan outside the swanky underworld auction and Ralph has Barry suit up in a tuxedo in episode 6x06 “License to Elongate”.