I lived in Hudson for just under a year, and still work downtown. It's a tough town for railroad photography, as far as I can tell... train frequency is low and the tendency is to run against the sun.
If you're able to get out onto the islands/sandbars in the St. Croix off of the old pier, there's a really, really nice shot to be had - I've only been out there once (walked out on the ice), but foolishly didn't bring my camera along.
If you shoot from the base of the pier, there's a shot like this:
http://www.flickr.com/photos/ottergoose/3282219910/There's also a park that overlooks the valley right above downtown - I don't recall the name of it off of the top of my head, but it's worth visiting.
A cool trick during the spring/summer/fall is to listen to the scanner (UP's road channel is AAR 52), and the marine bands (marine channels 14 and 16, I think). you'll hear conversations between the swing bridge tender and the trains / boats. Trains will verify that the bridge is closed, and the folks on the river will ask why the bridge is closed/closing. If you were really slick, you could probably even get a radio that'll broadcast on the marine frequency and ask the bridge tender what's up yourself.