Maybe I'm wrong about this part but...

Bunk offers McNulty a shot while standing on the tracks, but McNulty declines. We see the train is on the tracks but it's not moving. McNulty walks onto the tracks and stares straight into the light from the train while Bunk screams for more (booze). McNulty says, "I'm tired Bunk" as he walks off the tracks, "Let's go." And Bunk just shakes his head.

If you look back at this previous thread that I linked to the other day /u/gallco01 states that he believes the train represents McNulty's mental or drunken state. I think perhaps, the train does represent reform but also a delusional or an inebriated mental state for those that believe reform is coming.

Brother makes a direct reference to the train, stating reform is coming and despite being educated he is very clearly messed up in his own right, acting as if he is some sort of untouchable assassin. Omar is constantly battling for change on the streets and he shares the same delusions as Brother, walking around whistling as if he doesn't have one hundred men out to kill him. McNulty and Bunk are constantly pushing for change but they're both constantly drunk. Colvin makes a change, but my God is it a harrowing one. All of them believe in reform but each one of them are delusional. "The game stayed the same, it just got more fierce." "The game is the game. Always." Reform will never come but delusional people fueled by politics will put their best foot forward. Another prime example of this delusion would be Royce, and he eventually states "What the fuck was I thinking?" once the reporters hit Hamsterdam. Throw in Avon and Carcetti while you're at it.

At the first of the season we hear the real Jay Landsman say, "Don't throw your beer cans on the roof." Yet at the end of this episode we see the roof littered with beer cans and not only that but Colvin and McNulty are the ones throwing them up there. If you can't fix that, what can they fix? "It's like everything I poured into a glass came out of the bottom, and I just kept on pouring."

McNulty finally realizes through his interactions with Teresa, conversations with Lester and Stringer's death, that he's never going to find happiness in chasing the reform he desires because it will never come. So, he decides to better himself and focus on finding his own happiness, instead of chasing the mythical peace for the streets. However, in season 5 he begins drinking and again he starts chasing the delusion of reformation and change presented by the new Mayor. With promises unkept, McNulty loses all hope and his grasp on reality, but we'll get to that later.

At the end of the episode we see Carcetti feeding everyone his biggest lines that he worked on all night, about how we can't lose hope and we need to pull together to save everyone. Look at this lady's face while he shovels that shit. I'm sure David Simon never really spoke on this because he would hate to spread such hopelessness, but what really changes from the beginning of the series to the end? Nothing but the major player's names, and we don't even have to go to season 5 to see the cycle restart, things start over in season 4.