If I was filthy rich, I'd buy a plot of land near a railway line (that is at least attached to the main lines), build my own siding, and buy one of DSB's IC3 MUs[0], maybe also an IR4 MU[1], so they can together ride on electrified and non-electrified tracks. Then refurbish their interior, install as many signal compatibility systems, and, for the IR4, have it support as many overhead voltage systems as possible. I have a soft spot for the MF/ER class trains.
[0] https://en.wikipedia.org/wiki/DSB_Class_MF [1] https://en.wikipedia.org/wiki/DSB_Class_MF#IR4_%22InterRegio...
I have 13 acres. My dream is to have a homebuilt rail system around the land. Probably can't afford professional stuff so I'll have to get creative.
Most people do this as part of a club. You join the club and combine everyone's money to buy the things needed, and then everyone in the club can enjoy it.
Or maybe donate it to the Illinois Railway Museum (irm.org) so that they could run it for more people than just yourself.
That is exactly how the Halton County Railway Museum near Toronto came to be. A bunch of dudes bought an old streetcar (tram) to save it from the scrappers and built a track on some property to have fun driving it around. https://hcry.org/