The railroads are crap. An $800 investment, to only get $200 a pop when they get landed on. Plus, someone will always hoard one, so you'll only end up getting $100 for a $600 investment. Early in the game, they're all right, but even with the Light Blues, a $1070 investment gets you $550, $550, and $600.
So with that, I'll take Connecticut Ave.