When Catherine and Henry are walking around the streets of Milan, Henry notices another soldier and his girl seeking shelter by a cathedral. Henry notes that they are like himself and Catherine, a soldier and a girl. Catherine sees more than just this shallow resemblance, saying that "Nobody is like us," and later points out that "they have the cathedral [to stay at]." The implication is that unlike Henry and Catherine, this pair has religion. The only constant thing for Henry and Catherine is their love.
In the hotel room, Henry quotes Marvell's poem "To His Coy Mistress." The couplet he quotes serves to remind Catherine that death is ever near (as evinced by his returning to war), that time is short. Like the couple in the poem, they don't have a million years with which to make love.
When Henry boards the train, it is raining. The rain's presence creates a feeling that the events ahead (and indeed the events which have just taken place) are out of Henry's and Catherine's control. The crowded train also serves as an objective correlative, creating an atmosphere of hopelessness-circumstance has once again gotten the better of Henry. However, Henry chooses to give up his seat; in the face of such circumstances, he holds onto a set of moral values (plays by the rules).