A lot of the classic advertising by the LNER, LMS, GWR and Southern was print based - TV obviously not been available at the time for the most part. I've got quite a few of the books of this stuff, and it's fantastic.
There was the odd cinema publicity film by the railways, night mail being the classic, also a race between a boat, plane and LNER express train.
Because most film was black and white (the wizard of oz and snow white being the first big colour films of the 30s/40s), people tend to think of it of a very dull era, but actually the art deco colours were generally much brighter than most of the colours we use today
Here's some rare colour footage of LNER A4s in the 1930s, on what is now a four track section of the ECML
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In the BR era there were far more adverts based for TV, memorable were the late 80s adverts for intercity and BR as a whole. Also BTF productions like overture 125, typical mid 1970s Britain captured, with then the cutting edge of the train world, the HST.
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Then the BR adverts of the late 1980s. It's a shame most of these have been recorded from VHS video to you tube, because the originals were shot on 35mm film and were similar to the quality of adverts today.
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Private era is quite mixed, Eurostar, GNER, and Virgin ads stick out, perhaps there's some others? Here's what the nationalised French railways do to publicise themselves.
[youtube]03K0xiHMTNY[/youtube]