In my experience, nothing worked but what she chose herself, which happened to be a toy she had since infancy - that they no longer sell, of course. So when it went missing we had some sleepless nights. Frankly, if you can avoid the lovey, you might spare yourselves some trauma when it goes missing. If you do take her to the store to get one, get a spare.
Up until about 6 months ago, my DD had no lovey. She slept with some toy, but not always the same. It's an individual thing, I think. And even with the lovey, we still have to inspect her room for monsters before bed. I also leave her door cracked until I go to bed, but tell her that I'll shut her door to keep the cat out so she doesn't freak out if she sees it shut at night.
What about one of those little pillow pets? They're cute and can double as a car pillow, too.
If she picks out a train, then so be it. At least she'll sleep. My DD regularly sleeps on books and random items that she lost in her bed.