Walmart offers the LEGO Duplo My First Train Set for $33.74. Opt for in-store pickup to avoid the $5.99 shipping fee. That's the lowest price we could find by $5, outside of the mention below. It features a train with sound effects, station, track, and two figures. (Three AA batteries are required; not included.)

A close price: Amazon has it for $35.99 with free shipping.