I'm still at a loss.  The light does come on in the engine, so I believe this means the power is making its way through the tracks, which would line up with the fact that I can hear the power at the engine.  One more question - should the wheels on the engine move freely when I push it with my fingers?  The wheels do not spin, and I wonder if they should move when I try to spin them or if they only move when power is applied.

Thanks.  I did try the engine with no other cars and I know I heard the sound of the power at the engine, but I don't remember if the light came on so I will try it again tonight.

I have checked all the wires, disconnected and reconnected, and looked at the wheels on the engine but I will check again for any fuzz, etc. that I may have missed.  The wheels don't appear to even turn on this piece, so I'm sure they are the right way.  I'll take all these suggestions and see if I come up with anything else tonight.  Thanks for your help.

We purchased our first Bachmann set (the Cargo King seen at: http://www.amazon.com/Bachmann-Cargo-Complete-Ready-Electric/dp/B0045J9CWE/ref=sr_1_1?ie=UTF8&qid=1294343424&sr=8-1) over the holidays and it ran great for two days.  On the third day, we went to run it and when we turned it on we could hear the power going to the engine but it doesn't move, not a smidge.  After 8-10 seconds of this sound, the remote shuts itself off.  I've tried it many times and have moved the engine to different spots on the track and made sure that the wheels are on the track correctly, and checked over the tracks and the wiring for any noticable culprits to no avail. 

I'm hoping this is something easy to figure out and to learn a lot here on the forums over time.  I appreciate any suggestions you may have.