Model railroaders normally choose a specific railroad to collect or model. Many modelers choose the railroad whose trains they watched passing by as a child. Advanced modelers may invent their own fictional railroad, but this requires that the modeler paint and decal his or her own trains. So this not something I recommend for someone new to the hobby unless they already have a background in building, painting, and decaling other scale models.
The reason that it important to choose your railroad at the outset is that it will narrow your choices when shopping for your trains. There is an incredible amount of model railroad locomotives and cars on the market, particularly in the HO and N scales. Sticking to one specific railroad will ultimately save you money. I didn't choose a railroad until after I'd spent quite a bit of money collecting anything that just caught my eye. Now I have trains that I seldom use and can't bear to part with.
You still may want to pick up an exciting locomotive or unusual railroad car that doesn't belong to your railroad now and then, but focusing on one railroad will definitely save you money... and storage space... in the long run.
Your railroad can be modern day like the Union Pacific, BNSF, or Canadian National. Or it can be a "fallen flag", a railroad that's been taken over by a larger company. Regardless of your choice, unless you pick some terribly obscure short line, you'll be able find the locomotives and railroad cars you need to make up trains for your railroad. And you'll enjoy the anticipation of new releases for your specific railroad.
The more popular your choice of railroad, the wider selection you'll have. This may not always be a good thing for your budget though.
