What is this anime which started with a boy and his sister riding on a train to another dimension to search for their scientist parents?
The anime is Final Fantasy: Unlimited. It was my favorite back then.

Synopsis from MyAnimeList


  Ai and Yu, after reading their parent's research and after their parents' disappearance, they decided to go on search for them. They ride a strange train to the Inner World in search of their parents and meets up with Lisa in the train and together they begin their journey within the Inner World.