Did the dead man have any phobias?

If you mean a persistent anxiety disorder, no.

I was thinking more a fear of something that showed up in the compartment.
Oh, wait, gotta make it a yes/no question:
Did he kill himself due to something that showed up in his compartment? Like a skeleton or a spider or his ex-wife or something spooked him?

No.

This is harder than I thought, doing this in writing. I've only played this game face-to-face. It's a lot harder without all the non-verbal hints (like seemingly meaningful looks or hesitating to answer) by the "riddler".

Never fear. You deal with the Puzzlemaster himself, here.

Did he kill himself on accident?

Need clarification:

Do you mean, he killed himself accidentally (he did something that accidentally killed him) or he killed himself on purpose, but because of a wrong assumption?

In the first case: No; In the latter: Yes.

Does the location or make of the train have anything to do with it?

Yes.

Did he see something outside that made him kill himself?

Hrhr...

No.

Could he have seen something that would have saved him/stopped him from killing himself?

Yes.

Oooh!
Would it have been a cigarette/cigar that he'd have seen?

Yes!

We're getting closer ;-)

Would the item have belonged to somebody he knew?