On Friday, Saturday and Sunday evenings there's a special Lavaux Express 'Train des Caveaux' leaving from Lutry at 6.30pm. It does a little tour and stops at a wine cave of one of the local communes. The stop changes each night. You can see the list of dates/stops here:
http://www.lavauxexpress.ch/train_caveaux.php

It costs CHF 20 for adults, for which you get the tour on the train, a wine tasting glass to keep and the chance to sample three wines at the cave. If you like the wines, you can buy bottles directly at the cave (remember to take cash as they don't always accept cards!). You can also buy bottles of wine directly from the 'train' driver before you leave Lutry to drink along the way!

As Deep Purple and ChrisW mentioned, it isn't really a train, just a theme-park style tractor disguised as a train which pulls along about five little carriages. It's a bit noisy, so I'd recommend sitting towards the back if possible (arrive early to get a good choice of seats).

On a warm summer's evening it's a nice activity to do, especially with less mobile visitors who haven't the stamina to clamber around the vineyards in the heat of the day.

I noticed that there's another similar 'train' running this year from Chexbres, at the other end of the Lavaux region. I haven't taken it yet, so can't comment any further. More info here: http://www.lavaux-panoramic.ch/