In addition to all the good ideas presented so far: You have to think of the one object you never fail to leave behind, that can be used to remind you to get the other objects you're usually not used to carrying.
For some people, that's their cell phone.
So if you attach Bluetooth Low Energy tags to your bags, you can have your cell phone/tablet blare an alert if it gets out of range of your bags (even if the sound is turned off on your phone and even if you don't have service in the country you're in). The built-in battery of a small BLE tag is supposed to last up to two years.
Honestly, I never tried this method. One of the drawbacks is that the Bluetooth range might be too good, so it might only start blaring once the train pulls away, not once you got out of the train (but I can't be sure about that, if the Bluetooth range has a sensitivity setting, maybe it can blare before you're too far away from your bags? That's probably true, but I'm just not sure about that part).
Some of those tags apparently also have GPS builtin, but I think that's overkill.
One company took this concept of BLE tags even further. It can do all the stuff I described above and crowdsources the location of BLE tags even if you're completely out of range by using the phones of their other customers to collect the data.
For some people, it's their metro pass/ticket
So if you put your metro pass into the bag you're most likely to forget, and the station you're in requires your pass/ticket to exit the station, you won't be able to exit the metro if you don't have that particular bag. ;-)
I'm not sure if this is a feature or a bug. But in my case, it means I am paranoid about not losing that kind of ticket, so I double-check it often.
For some people, it's their keys
I personally have a lanyard on my keys and I tie my lanyard to my car dashboard, or sometimes I tie an obvious knot to it. This at least reminds me that I forgot something when I get home as I try to take my keys out of the ignition.
For some others, it's their coat, gloves, or scarf, especially in a super cold climate.
Here, you could just attach your coat to a part of your bag, or stuff each glove in a different bag.
For others still, it's their glasses, sunglasses, or hat (this will depend on the type of glasses, or even if there is any sun out there)
And for almost everyone, it's their current shoe(s)
This is the granddaddy of all reminders. Now I'm not suggesting that you do this on a train. But if it's a question of life or death, or if you know of new parents that are afraid to forget their baby/toddler in the back of the car (which can be extremely easy to do if the baby/toddler is sleeping, or there is a slight change in routine in the parent's life).
That new parent should take off one of their shoes when driving and leave that shoe in the back seat with the baby/toddler. And yes at least in the United States, driving without shoes on is perfectly legal. And personally, even if it was illegal, I would still do it even if it meant I wouldn't forget a toddler in the back of my car.