In the Film
He became an evil scientist because of this loss and developed a goal to rule the 2nd Dimension Tri-State Area, which he eventually did.
For the original Doofenshmirtz, he never actually lost Choo-Choo, but he found one in a box in his pantry labeled "VHS Tapes". It is possible that the train is an allusion to "Santa Claus Is Coming To Town", as when 2nd Dimension Doofenshmirtz receives it from 1st Dimension Doofenshmirtz, He says "Choo-Choo! Ah...Heart melting!", similar to the Winter Warlock in the hit Christmas TV special did.
The Doofenshmirtz from the 1st dimension was told by his 2nd Dimension counterpart that, had he lost his Choo-Choo, he probably could have been more successful at taking over his Tri-State Area (seemingly an allusion to the Chaos Theory).
After being reunited with his beloved Choo-Choo, the 2nd Dimension Doofenshmirtz became the similar person the 1st Dimension Doofenshmirtz always was. He even came up with a self-destruct button for each and every one of his Norm Bots, quite in the manner of his 1st Dimension counterpart. Apparently, the trauma of losing his favorite toy as a child was the only thing that held him "competent".
After returning to his dimension, however, his change of heart was not enough for the citizens of the 2nd Dimension Tri-State Area to forgive him for his crimes against humanity. He was promptly arrested as he tried to explain his change of heart.
It appears again when 2nd Doofenshmirtz is sitting in his jail in the episode taking place after the events of the film, Tales from the Resistance: Back to the 2nd Dimension.
Upon learning that 2nd Doofenshmirtz's ex-wife, Charlene, has captured most of O.W.C.A.'s agents and turned them into cyborgs (similar to how 2nd Doofenshmirtz turned 2nd Perry into Platyborg), 2nd Candace decides to take 2nd Charlene in. To do so, she coerces 2nd Doofenshmirtz into helping her by threatening to take his toy train away while he can still remain in jail.
However, having expected this, 2nd Charlene sets her Animal-borgs to trap 2nd Candace, 2nd Phineas, and Platyborg in her penthouse, forcing 2nd Candace to give the toy train back to a freed 2nd Doofenshmirtz.
However, 2nd Charlene gets very annoyed at her husband focusing her attention on a silly toy train, so she just throws it away, prompting 2nd Doofenshmirtz to go back to his evil ways again.
The train also is mentioned in the DS version of the movie game.