The only way to reach Anville Town is by taking the brown line in Nimbasa City's Battle Subway. Unlike the other train lines, you don't need to battle. The town itself is rather small and there's barely anything to do, but that's not to stop you from enjoying your time here.
For starters, speak to the girl opposite the train to learn her Pansage has gone missing while in Nimbasa. If you're feeling kind, you can find Pansage outside the Musical Theater; speak to the conductor standing next to it and he'll take the Pansage back home. You can also speak to the girl again after reuniting the pair.
Next, head north-west from the train, up the steps. You'll be on a viewing platform overlooking a train on display, which trains from day to day. If you talk to the Worker on this platform and answer 'Yes' to his question, he will proceed to tell you about the train that's currently on display. It's all very interesting stuff...
Once you're done there, head east onto the grassy part with the three houses. Enter the south-eastern of the three houses and speak to the Depot Agent inside. Turns out he's in charge of Lost and Found and hands you a Rare Candy . He'll give you more items if you get a winning streak of seven or more in the subway.
If it's the weekend, you can swap items with trainers visiting the town. One in particular will give you a PP Up in exchange for one Star Piece, handy if you're farming PP Ups.
Guess what? That's it! The only other thing you can really do is head back to the Depot Agent at the train, talk to him and answer 'Yes' when asked if you want to head back to Battle Subway. You'll end up back at Gear Station. Feel free to do what you want from there!