Here's pics of the first self-contained unit (Panzerspähwagen) I mentioned above:
http://membres.lycos.fr/barkmann/galerie/panzer/artilleriewagen.html. It is well known and would be the easiest to make but is kind of short and so the least "train-like" I suppose.
A third type of German self-propelled unit was the Panzerjager-Treibwagen (tank destroyer car), which had two panzer iv turrets:
http://tracks-n-troops.com/shop/images/5 star/5S72001.jpg. It is very sleek looking but unfortunately was made too late to see combat.
On the same site is a model of the WW1 Russian/Austro Hungarian self-propelled armored rail cruisers:
http://tracks-n-troops.com/shop/images/5 star/5S72003.jpg. I love the domed turrets on these things. The most famous unit was named "Zaamurets" and it saw action in the Russian Civil war on the Red side before it was captured by the Czech Legion fighting for the Whites, then fell into Chinese hands, and finally captured by the Japanese.
The Russians also made heavy use of armored rail cars in WW2. Though I am not sure how much Andy would want to make a Soviet piece (since we have been told they don't sell), there are some truly formidible rail cruisers like the MBV series:
http://rkkaww2.armchairgeneral.com/galleries/armored_trains/MBV-2.JPG
http://www.themotorpool.net/PhotoGallery.asp?ProductCode=GasSPE08
Here's a review of the new Osprey book on armored trains that shows most of the self-propelled armored rail cruisers I mentioned above:
http://www.armorama.com/modules.php?op=modload&name=Reviews&file=index&req=showcontent&id=3035
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