At approximately 10:18 in the movie, Morpheus, Trinity, and Seraph enter a train and see the Trainman. At 10:43, the Trainman runs out of the train. There is an advertisement on the wall outside the train for "Tastee Wheat". This is an egg referring to a part in the original Matrix where Mouse is talking to Neo about Tastee Wheat.
Neo in Limbo?
When the movie starts we pick Neo up in the train station with the little girl. If you take a look at the wall behind them you will notice some writing that says "MOBIL AVE". We all know that Neo is in a place that is neither here nor there, in between the real world and the Matrix. If we rearrange "MOBIL AVE" we get "LIMBO AVE", and we all know what LIMBO is, and that is where he's at.