It has been several years but the Oklahoma City Railroad Museum was nice, not like California or Colorado, but it was worth the time. El Reno is about 30 miles to the west of OKC and it has some remaining Rock Island structures, it was a major point as the North/South and East/West line crossed there. Still active UP in town.
Not railroad related but the I enjoyed the Oklahoma History Museum near the capital and the 45th Infantry Division Museum had a great collection of small arms spanning centuries, WWII equipment, aircraft and armor outside and some of Hitler's personal items.
OK History Museum
45th ID Museum