I had a great visit at the museum at Rossville IL last Saturday. Rossville is about 10 miles north of Danville. You can see Indiana from there! This is on the CSX from Chicago-Evansville. They have wonderful displays of signals, equipment and railroad artifacts. Also have a model railroad layout in the other end of the depot. Great place to just sit back and roll the trains by you. Here is a link to their website and a picture of T 938 rolling southbound past the depot.
I know this isn't an Indiana museum but I thought it was close enough to Indiana to warrant a posting.
http://www.danvillejct.org/