We once got locked in Shenfield station. Which was on balance probably better than being locked out of Shenfield station.
(Last train back from Southend, a bunch of super-doofuses tried to start robbing people, which wasn't very successful at anything other than getting the shit kicked out of themselves by a train full of drunk blokes. Anyway, the police were called to intercept the train at Shenfield, where they failed to turn up for a long time, during which our train driver ran off and was never seen again. As the did the wannabe robbers, leaving the rest of us passengers waiting around. At which point we noted that all the station staff had also gone home and locked the doors behind them. Two hours and several phone calls later someone came to let us out and begrudgingly get us all taxis for the remainder of our journey.)