Short overview:

Estonia: daily train connection with change and long wait at the border from Latvia (Riga - Talinn) / ferries from Sweden (Stockholm - Talinn / Kapellskär - Paldiski) and Finland (Helsinki - Talinn)

Latvia: daily train connection with change and long wait at the border from Estonia (Talinn - Riga) / ferries from Germany (Travemünde - Liepāja) and Sweden (Stockhom - Riga / Nynäshamn - Ventspils)

Lithuania: two trains per week (friday, saturday) from Poland (Białystok - Kaunas) / ferries from Germany (Kiel - Klaipėda)

Bosnia: three trains per week (friday, saturday, sunday) from Croatia (Ploče - Sarejevo)

Most people would go by bus (or ferry), not by train...

Kind regards, Hektor. 

You can get there-also Macedonia, but NOT by train/comboio all the way. As there are NO such beasts going over the border to these countries-and also very, very few IN the country.

PL-LT is only on weekend during summer. LT-LV not for now, LV-EE-only 1/day with very long wait in a godforlorn tiny village at border-loose all day. Also note that local tickets in these countries are very cheap=much cheaper as a passday would cost you.

Another thing is that planner-even the better one from bahn.com-does only show what someone has put in-these countries do not do that. On seat61.com you can find best actual overveiw on how to go there overland