In the new era of railways, infrastructure, trains and travelers will be interconnected. In order to realize a seamless high-data rate wireless connectivity, up to dozens of GHz bandwidth is required. This motivates the exploration of the underutilized millimeter wave (mmWave) as well as the largely unexplored THz band. In this paper, we first identify relevant communication scenarios for railway applications. Then the specific challenges and estimates of the bandwidth requirements for high-data rate railway connectivity in these communication scenarios are described. Finally, we outline the major challenges on propagation channel modeling and provide a technical route for further studies.