I did an train trip around all Europe 2 years ago - Serbia, Hungary, Austria, Czech Republic, Germany, Denmark, Sweden, Norway and the Netherlands, and honestly, it was the most rewarding and eye-opening experience. It can be scary but if you like travelling in general, chances are you will enjoy it. It is a whole different thing than travelling with somebody, tho. These days it's so rarely that we get to be really alone with ourselves, you can be surprised with the thoughts in your head when you actually do it.
The freedom you have to do whatever you want is awesome, it made me feel free in a way I've never felt before. I would recommend staying in hostels - they are cheap and you'll get to meet so many like-minded people. But the best part for me is that it changed my perspective - it made me more open to new people and experiences, and to myself really. So go for it
