I came to Trainz a couple years ago after using MSTS almost since it was first introduced.
I like MSTS quite well, especially with some of the add-ons that are available. It has a more realistic feel than does Trainz. The main reasons I dropped it are that the simulator would bomb fairly often, that errors in what MSTS calls activities were not easily fixed, and that it became an orphan when MS dropped its support.
I've come to like Trainz because it is more stable, and because with the Surveyor mode, you can not only easily fix session errors (sessions are akin to MSTS activities), but you can easily develop your own sessions - and even the routes to run them on. (Some routes are supplied without sessions, and if you want to use them, you have to learn to use Surveyor at least to the point where you can place rolling stock where you want it in the route.)
In MSTS you are basically a locomotive engineer carrying out work orders, or, after selecting an engine, just exploring. In Trainz, you can be the engineer if you want, but you can also be a dispatcher managing several trains at once, be a route developer, or be a session developer or all at once - whatever grabs you.
I went from TRS 2004 to TRS 2006, and have not regretted it. Much more add-on content is available for 2004, but most of it works OK on 2006. My main reason for sticking with 2006 is because Surveyor mode is more robust and for me is easier to use than it is in 2004. Also, CMP really works well for me - which means that for me adding and managing content in 2006 is simpler than in 2004. Beware, though - there is a learning curve to CMP, much steeper than it should be due to the very poor and incomplete coverage it receives in the Trainz manual.
Somebody mentioned Trainz Classic - I've read in other threads on this forum that it will not have everything in it that TRS 2006 has. How reliable that info is, I'm not sure, but I will wait until I see the forum response to it before I get it - if I get it.
Dick