This song is about a guy who watches his girl leave on a train and promises to write. It is often performed with train whistles.
Jolson sang this in The Jazz Singer, which is the first feature-length movie with talking sequences. The song was also recorded by Gus Kahn, Ted Fio Rito, Ernie Erdman and Dan Russo (all in 1922) and by Eddie Cantor, who also popularized the song. Cantor (real name Israel Iskowitz), was called "Banjo Eyes."