TTDLX (and it's open source successors) definitely. The official sequel, Locomotion, had great promise with all sorts of extra features such as narrow gauge, electrification and longer/double headed trains but was a bit of a fail in other areas.
RRT2/RRT3 were prettier but didn't have the "real" railway signalling that Transport Tycoon offered and I can't get RRT3 to work under Vista (haven't tested RRT2).
Sid Meier's Railroads was pretty meh, and I can't get get the hang of A Train 8 at all.
Away from transport/railways, the RCT series were classics in their time but not played for ages. Don't even know if RCT3 will run under Vista.
Unfortunately "Tycoon" went through a phase as a suffix for all sorts of cheap and nasty simplistic games (Mall, Golf, Ski etc.). Prison I keep meaning to look at but want to know which (if any) version allows you to build a Death Row.
For the more cerebral experience, might be worth tracking down Airline 6. This is an airline management sim, graphically not very pretty but allows you to set up and operate your own fleet of aircraft decide schedules and pricing etc. Last time I checked it wasn't particularly cheap and had to be ordered from Australia if you wanted the disc.