I started weathering my rolling stock a couple years ago as time permitted and I wasn't working on a layout project. I discovered a significant difference between a fresh from the factory train and a nicely weathered train, especially in model railroad photography. I mainly use an airbrush to fade and dirty my models and like the results I am getting so far, and haven't felt the need to try other techniques just yet.
Here is one of my first attempts of weathering on an Atlas coalveyor. I started with a fade coat using a very diluted light grey, followed by light coats of rail brown and grimy black. I have since weathered several of my coal hoppers and wrote an article about my experience in the Mar/Apr 2010 N Scale Railroading.