Railroad Tycoon II. Love this game, though it seems a bit easy, granted, I've been Tycooning it since the original was out way back in the Tandy 1000 RL days.
I've connected Baltimore to Philly.
I built the Lake Shore Limited line, by the way to easiest way to connect Chicago to Albany is to connect NYC to Philly. It seems like the wrong direction, but it gets you the capital to build out.
I just finished connecting St. Paul with Seattle for gold. The irony was I picked the northern pass... yet ended up going central because there was crap to connect with up north as most of the resources were between Boise and Denver. *sigh* First world problems. The board of my company were a bunch of asshats. I connect the Midwest to the West Coast super quick and they are pissed my revenues aren't higher. Well yeah, I could have used capital to buy industry, but then I'm not connecting the West Coast to the Midwest you wankers! I do like how you can buy and influence how well an industry does. I don't like how all of a sudden after connecting produce to Des Moines for a $150,000, I get a message saying cities no longer accepting produce, go find a cannery or fuck yourself.
Southwest is next.