This 2010 message-board post allegedly details the mayhem wrought when CN locomotive 2699 ("a 212 ton, 6 axle machine powered by a 4400 hp V16 4 stroke Diesel") threw a piston while passing through Independence, Louisiana. The piston punched a hole in the roof of a nearby house, ploughed through the upper story and came to rest embedded in the wall of the ground-floor living room. I can't find any news reports to substantiate the description, though.
Locomotive Engine Failure – Blown Piston
(Thanks, Fipi Lele!)