Prototype locomotives and rolling stock begin to show signs of exposure to the elements almost as soon as they leave the paint shop.  These effects can range from a light coating of dust to heavy layers of grime and rust.  We are fortunate to have several club members who do an exceptional job of weathering models.  Richard Schmitt does prize-winning model work, and has taught some excellent clinics at various FGRS meets on weathering techniques.  Both Jim Hopes and Gary Nichols have produced some very believable weathered models using many of the techniques similar to those Richard teaches.
       Adding weathering to your models helps to make them more realistic and also helps to highlight many of the details.  Keep in mind that weathering does not have to be heavy to be effective.  In fac it is often the light and subtle highlights that are the most effective.
       Once you decide to weather a model, you should look to the prototype for examples.
       Photographs are a big help when you begin your weathering process.  In the 1940's and 1950's streamline passenger trains were kept spotless.  They were washed after every run, and railroads like the UP and SP, waxed their cars every three weeks.  The trucks on these cars were repainted every three days, so a coating of dust on the trucks and lower sides would be the only weathering needed.  Steam era freight cars were covered with soot that was washed down the sides during rain.  Modern era railroads defer cosmetic maintenance on their locomotives and rolling stock, so minor damage and rust, along with heavy grime is very prevalent.  Locomotives that operate in steep mountain areas with many tunnels are always covered with exhaust grime.  Diesels that operate in this environment have their paint blistered from the heat of the dynamic brakes. 
       There are three techniques that are used for effective weathering:  Dry brushing, Washes, and Oversprays.
       Dry brushing - involves taking a stiff bristle brush, dipping it into your paint, and then wiping most of it off on a paper towel.  You then streak the model to simulate peeling paint, streaked rust, stains, grime and dirt.  You can also dry brush with white to simulate streaked lettering.
       Washes - are applied using a wide brush with soft bristles.  Washes are created with 1 part paint to eight parts thinner.  You build up the effects in layers but lightly spraying each coat.  An internal mix airbrush works best with this technique.
       The one thing that you must remember when weathering is to make it believable.  By using photos, you can determine where to apply weathering and what type is most appropriate.  Rust and dark grime tend to accumulate over time, but dust builds up only to be washed away by the nex rain.  The following table covers weathering colors and what they can be used for:
       Paint effect - black, grimy black, weathered black, grays general grime, soot, exhaust stains gloss black oil & fuel spills and stains, earth, sand, tan dust, sand, mud, roof brown, rail brown, other browns, old rust, rust, orange new rust, white faded paint, streaked lettering, etc.
       In this article I have been talking about weathering with paint.  Many people prefer to weather with Poly-S or Accuflex paint because they are water based, and can be removed with a damp towel immediately after they have been applied.  If you use Poly-S, thin it with the alcohol based airbrush thinner rather than water.  Water may cause the paint to bead up on the model from surface tension.
       There is a book out by Kalmbach called "Painting and Weathering Railroad Models" which was available from Walthers.  This is a very well done and illustrated book which will help both the beginner of the advanced modeler.