Vancouver Amtrak to US from Canada

Here's my understanding of the situation:

• Pacific Central Station in Vancouver has United States pre-clearance facilities. This means that Seattle-bound passengers will be interviewed by CBP agents before boarding the train. As far as I know, this is the only Canadian train station with this capability.

• ESTAs are strongly recommended for travelers on the Vancouver–Seattle train who are eligible for the Visa Waiver Program. See this question and its answers, particularly Tom W's answer.

  This is often a point of confusion, since ESTAs are not usually used for "land crossings"; however, the Amtrak Cascades train is an exception to this. (I suspect that the exception exists because of the existence of the preclearance facilities in Vancouver.)

• Having the ESTA means that you will not have to fill out the I-94W when you cross the border:

  The implementation of the ESTA program allowed DHS to eliminate the requirement that Visa Waiver Program travelers complete an I-94W prior to being admitted to the United States. CBP has transitioned to paperless processing for Visa Waiver Program travelers arriving by air or sea who have obtained a travel authorization. ... Travelers entering the United States under the Visa Waiver Program who have an approved travel authorization will no longer be given a green I-94W departure coupon in their passport.

  According to Tom W's answer (linked above) it is still possible to fill out an I-94W at the Vancouver border if you arrive there without an ESTA. However, you will almost certainly experience some delays and/or displeasure from the CBP agents. In any event, this is moot in your case.

• Participating in the ESTA program requires you to provide biometric data when you arrive at the "border":

  You are eligible to apply for admission under the Visa Waiver Program (VWP) if you:
  
  ...
  
  

  • Waive any rights to review or appeal of the admissibility determination of the United States Customs and Border Protection officer, or contest, other than on the basis of an application for asylum, any removal action arising from an application for admission under the Visa Waiver Program.
  • Reaffirm, through the submission of biometric identifiers (including fingerprints and photographs) during processing upon arrival in the United States, your waiver of any rights to review or appeal of the admissibility determination of the United States Customs and Border Protection officer, or contest, other than on the basis of an application for asylum, any removal action arising from an application for admission under the Visa Waiver Program.

  I have put "border" in quotes above because this will almost certainly be done by the CBP agents when you are pre-cleared in Vancouver, rather than at the line between BC and Washington.

Can somebody please tell me where will CBP check me and how?

Directly at the train station before you're allowed to board, similar to how it works in Canadian airports for flights to the US.

Is the CBP check before boarding the train, or on the train or do I have to step off the train at the border?

You don't have to step off the train at the border, however the train will make a stop at Blaine/Peace Arch in order for customs to collect your declaration and inspect your luggage if necessary. There are no other stops between Vancouver and the border, although the train does make a few stops within the US.

Will I have fill out an I-94W and biometrics (I do that at the Canadian airport, so would I have to do it again)?

• If you have a valid I-94 from your previous trip, you don't have to fill out anything
• If you have no valid I-94 and no ESTA, you'll need to fill out form I-94W and submit your biometrics
• If you have no I-94 but do have an ESTA, you'll receive a fresh I-94 after answering some questions about your trip and submitting your biometrics

Does having an ESTA help me with anything to expedite passing?

It will make crossing the virtual border slightly faster, but the train leaves on a fixed schedule so whether or not you'll spend an extra five minutes on your feet probably wouldn't make a difference in the end. You can also save a bit of time by applying for an electronic I-94 in advance.