This is a great question! I have often wondered if others play at the slow speed I do and now I know I'm one of the few who does.
I usually play at very slow to slow speed, seldom on normal and very, very rarely on fast speed. Maybe I manage my trains too tightly, but I like to see what they are carrying, watch them from a distance and then follow one on camera as it rolls across the terrain (and, of course, marvel at my brilliant engineering feat of track laying). I also like to keep "scouting out" the map for what the AI is doing, for price gradients, for next track expansion and for promising industries without having to go into pause, so I let the trains roll slowly along as I plan my next steps.
When I build track, I put the game speed on slow because very slow makes the money trickle in too slowly for track building (pause for bridge building). The only time I use a fast speed is when I sink all my money into an industry at the start of a game and I have to wait several months for the profits to build up to start laying track. Maybe this is why it takes me 2- 3 evenings to play a single scenario and some of you play 2-3 scenarios in a single evening?!