Everywhere in the area around Calama, San Pedro de Atacama, we heard of this mythical train. It's mentioned on various blogs, websites and wikis.
However, I've yet to meet a single person that has actually been on it, and I've been to Chile and Bolivia twice now.
Generally you either get a tour through from San Pedro de Atacama to Uyuni, and bus up to La Paz, or from Antofagasta/Calama/Iquique you grab a bus over the mountains to the west of La Paz, and it joins up with the main road through El Alto into La Paz.
Incidentally I've done both of these, and while in a car overnight from Uyuni to La Paz, saw a train pass in the middle of the night just north of Uyuni. I've often joked it might have been this mythical ghost train, but am pretty sure it was just a goods train.