The Swanage Railway is a six-mile heritage steam line running from Swanage station — itself a fully restored Victorian terminus — through the Purbeck Hills to Corfe Castle and the park-and-ride at Norden. The whole circuit by train and on foot makes a satisfying half-day: train out to Corfe, an hour walking around the village and the castle ruin, then the train back. The trains are mostly steam-hauled, with vintage diesels on some services.
Buy a Round Robin ticket if you want to combine the train with a bus to and from Wareham (mainline rail to London). A regular timetable runs from spring to autumn, with reduced winter services and special days year-round — check ahead. The station at Swanage itself is worth a look even if you don't take a train: original signal box, signage, and a small railway shop in the booking hall.