The Bo'Ness and Kinneil Railway and assoicated Museum of Scottish Railways is a great place. Bo'Ness is a small town on the Firth of Forth, East of Edinburgh. The railway museum operates steam and diesel hauled trains along a short railway line to the Edinburgh - Glasgow mainline. The museum consists of a number of historic buildings that have been moved there from elsewhere in Scotland.
In many ways I prefer this museum to the National Railway Museum in York. It is more chaotic, less polished and full of wonderful old stuff. You can tell it is run by enthusiastic volunteers. Also check out the Prestongrange Industrial Museum which is another fantastic little industrial museum.
Bo'Ness sometimes hosts the Flying Scotsman and other iconic locomtives on their tours through Scotland.