Comment locks and cables (Score 4, Informative) 293
I do a lot of travel in third world countries where theft risk is a big issue. I'm not sure if a long train ride in first world country qualifies for such paranoia but here's what I do:
1) Padlock all the metal zippers. Anything with in a compartment with a fabric zipper can not be secured. There is little point in securing a bag if someone can simply open a zipper and remove the good stuff. A lock is pointless if someone an simply cut the handle with a pocket knife.
2) String a cable lock through one or more padlocks and wrap it around an immovable object, like a seat leg. I use a cheap bicycle lock much like this one: http://www.campmor.com/outdoor/gear/Product___56711?cm_vc=PDPZ2 but there are plenty of options.
Security doesn't have to be perfect, just good enough that isn't worth the trouble or risk to the thief.
That said, there have been times when I would have liked something a proximity alarm: not so much for theft but so that I don't absent mindedly leave something behind.