The Phantom Forest
The Phantom Forest is a short maze-like area. Every battle in this area will feature at least one Ghost, monsters that can use Fire and Fire Wall. You don't have any way to protect yourself against Fire, so your best bet is to take them out quickly. Ghosts also use Pause to inflict Stop, another attack you can't guard against (even with a Ribbon!). Ghosts are often accompanied by Popliums, less dangerous creatures that have a Slow-inflicting Cling attack and not much else. You can safely save them for last, though both Sabin's and Cyan's most powerful attacks both hit random targets and thus may be wasted on them.
The second screen in the Phantom Forest, the Lake, contains a convenient recovery spring you'll automatically use on arrival. If you happen to get lost at the Crossroads, you may end up back here and wish to use it again. The size of the monster groups will increase significantly once you reach the Crossroads. Instead of a single Ghost, each encounter will now have 2–3. The northeast path leads onward, while the southeast path leads back to the first map, near the entrance to the Lake. It pays to move quickly onward, because if Shadow is in the party, there's still a chance he'll leave after any given battle in the Phantom Forest (but not beyond). Keep pressing on and soon enough you'll reach a train platform.
The Rear of the Phantom Train
Once you reach the platform, you have no choice but to board the Phantom Train. You're stuck here until you can find a way off, but on the upside Shadow no longer has a chance to leave (provided he's still in the party). You'll find yourself in the Ninth Car to start with, but you probably first want to head east to the Caboose.
The Phantom Train introduces a number of new monsters. Hazers are physically weak and like to use Drain, which is only dangerous if they've taken non-lethal damage. Whispers are tough and use Demi, which can quickly reduce your party members' HP to dangerous levels. StillGoings are more straightforward, though they do use the Slip Touch attack that inflicts Seizure. You'll find dangerous Bombs Outside and in the Caboose. These enemies may counter any attack with Exploder, so its best to use powerful special attacks to cut through their 160 HP all at once. They attack with the powerful Blaze ability, making it even more imperative to take them out quickly, especially when they appear in groups.
One interesting mechanic in the Phantom Train is the presence of wandering ghost NPCs. You can't tell them apart visually, but there are three types. Some will attack you, taking the form of a single Ghost most of the time or 3 Ghosts 1/4 of the time. Others serve as an Item Shop that lets you refill consumables including Shuriken. And still others will actually join the party as ?????, weak characters with the one-shot Possess ability that will kill any single monster but remove the ghost from the party. If Shadow is not in the party, you can recruit a second Ghost as well.
Heading east gets you to the Caboose and the Caboose Room within. You'll find a save point there, as well as the Impresario who will tell you about the train, and a switch that will teach Sabin a bit about Cyan's relationship with machines. To progress further, you'll have to return to the Ninth Car and head west.
You'll pass through the Eighth Car, which is very similar to the Ninth. You'll find another Item Shop ghost as well as one that will join, and plenty of others who will attack. The Seventh Car is where things get interesting. A ghost will block the exit after you enter. There is no exit on the west side of the car, leaving you trapped. There is one Item Shop ghost present, but none will join you. All of the other ghosts, including the one blocking the exit, will attack if spoken to.
If you engage the ghost blocking your way out, a cutscene will play that will end with you surrounded by ghosts outside the car. Climb the ladder and you'll eventually be able leap westward off the car to escape. You'll end up outside the Sixth Car, inside which you'll find a switch that detaches the rear train cars. This ends the pursuit but also means you can't go back!
The Front of the Phantom Train
With the rear cars detached, re-enter the Sixth Car and hit the switch again to open a passage forward. There is a convenient save point located just inside the opened door. A new monster, the Over-Mind, appears only in the Sixth Car. They have a lot of HP but low Defense, and can inflict Petrify with their Dread ability. If they are the last remaining monster in an encounter, they will instead use Wild Touch to inflict Muddled. This is not only used as a normal attack, but also as a counter. Their Elf Fire Rage is otherwise unavailable in the World of Balance, so make sure to fight at least one if you want it.
The fifth car is the Dining Car, which is entirely optional but well worth checking out. If you enter from the east, you'll be able to sit at a dinner table that acts as a recovery spring (with cutscenes based on your lead character). You should head around Outside and enter from the west to find a chest containing Earrings. These aren't of great use to this physically-attacking party, though they do enhance Retort, AuraBolt, and Fire Dance. Spellcasters like Terra and Celes will get more use out of them.
The Fourth Car has a different layout than previous cars. Another Ghost will join here, though none sells items. The two rooms both contain points of interest. The East Room has a chest, but when you approach you are accosted by Siegfried. He talks a good game, and will immediately make eight weak attacks, but don't let the boss music fool you—he's actually a pushover, and will drop a Green Cherry. He'll still take the chest, though.
The Fourth Car West Room and the Third Car East Room are identical in layout and share a hidden Tent treasure. (It seems to literally be the same treasure, since once you find it in one room, it disappears from the other.) To get it, try to 'open' the northwest tile of the room as if it were a chest. You want to stand one square south of the corner (not in the actual corner) and press .
The Third Car also has a West Room that contains four treasure chests. The three on the right contain a Sniper Sight and two Fenix Downs, but the leftmost chest is a monster-in-a-box. You'll encounter a Specter, which drops a Hyper Wrist and does not appear on the Veldt. This is a fantastic Relic for physical attackers, such as the ones in your party, raising Vigor by 50%. The bad news is the Specter is a dangerous foe with a number of nasty attacks. In addition to a powerful basic attack, it can cast Ice and the dangerous drain attack Raid every third round. It can also counter attacks with Lightning, a double-damage attack. Use your most powerful attacks to get through its 1,500 HP quickly, or try to use a Ghost's Possess ability for an easy win. Any Ghosts still in the party will leave when you head to the next car anyway.
The GhostTrain
The Second Car has the third and final save point on the Phantom Train. From there, head to the Locomotive. Inside you'll see three switches. If you investigate the northern part of the west wall, it will tell you what to do: open the first and third pressure valves (the switches), then use the switch outside near the smoke stack. Do this and you'll be faced with the boss: the GhostTrain itself. (Admittedly that would have worked way better if the game had enough room to call a monster "Phantom Train" but oh well.)
This battle is a back attack, so you may want to prepare by swapping rows. Basic attacks are unlikely to come into play here, though, so having everyone in the back row is a good idea. Since you have no healers or other spellcasters, your offensive strategy is pretty simple: use the most powerful attacks available. Sabin in particular should use Suplex if for no other reason than because he can. (It is also very effective in this fight.)
The real issue, of course, is GhostTrain's offense. Its basic attacks are supplemented by double-damage Wheel attacks, and while neither is terribly powerful, the GhostTrain likes to attack twice in succession. It can counter any attack with Wheel, but there isn't much you can do about that. Its most unpredictable and potentially most dangerous attack is Evil Toot. This ability inflicts a random status ailment on each party member from a list of 8: Dark, Poison, Imp, Condemned, Berserk, Muddled, or Slow. Each target can get a different status. Depending on what you're hit with, this fight can become difficult quickly.
GhostTrain also has two damaging attacks that hit the whole party, Acid Rain and Scar Beam. Scar Beam is the more powerful of the two, but Acid Rain has the added effect of Seizure which can be worse in the long run.
Since you can't really counter any of the GhostTrain's attacks, your best defense is a strong offense. 1,900 HP may seem like a lot but you can cut through that in a few rounds, especially if Shadow is in the party throwing Shuriken. This fight is harder, though still winnable, if he's not in the party.
After the fight is over, you will find yourself at the South Station. You'll end up having to wait for the scene to fade to move on. South of the Phantom Forest, you'll find the same encounters as to the north. Your next destination is to the east.