I am a little late getting into this discussion but I concur with the points which were made, it did originally mean limited stops, faster, better or more exclusive service. It was definately a compliment, not a word to indicate "dimished" service or quality.
The Sunset limited was, indeed, the better of the two trains which used to be on that route, the other being the Arognaut, as stated. Same for the Capitol Liimted.
CAUTION, however. The naming of trains is not an exact science. (Even the naming of railroads was not an exact science, but that is better saved for another topic).
I noticed the word somehow got phased out a little bit-----on SOME railroads-----------after streamlining came along. In later years, (and certainly just before Amtrak), it sometimes did not have as much of the original meaning.
In some cases a brand new train was put in service, not called "limited". That would leave the old heavyweight trains called "limited" still standing, so in the 50's,60's and early 70's it did not ALWAYS have as exclusive of a meaning as it often did in the 30's and 40's.
For example, when the "Crescent Limited"(a 1926 built train) was streamlined in 1949 the word limited was dropped from it. Yet the Piedmont Limited (not to be confused with TODAY's Piedmont) , a heavy weight on the same route, remained in service. In that case, the Crescent (no longer called "limited") was superior to the Piedmont Limited. So it can get a little complicated.
But I still concur with the above writers that the word originally meant exclusive and superior service.
The word "express" certainly conveys a definate meaning but even that got obscured at times. For example on the Crescent route , say the WAS to ATl portion of it, in the 50's, there were six trains a day. A train called the "Washington, Atlanta and New Orleans Express" was the FIFTH SLOWEST of the SIX trains on that route (and didn't go to New Orleans, at least not in my day!!!) So, names can be get a little mis-leading and mis-applied .
Keep in mind that railroads were free to call their trains whatever they pleased, there not being a coordinated , consistent national system such as we have today under Amtrak. They could call anything anything, and some long distance trains did not even have names. They all had numbers of course.