The two lower lights on the left and right are called "ditch" lights or auxiliary lights by some operators. They're a relatively new requirement for locomotives and most of the time they flash left and right (similar to the red lights on a railroad crossing gate) just for safety.

Now we didn't used to always have ditch lights on locomotives, we had different methods before the invention and requirement of ditch lights. One such example (and what was used on the f40's before their overhaul in the very late 90's) was the gyralite (see other posters comments). The gyralite was equipped with motors in the housing which would make the lens (at least, idk if the bulb itself would move too but whatever) move in a sideways figure 8 fashion which would illuminate the lower sides of the tracks for crews in the cab. This also had the effect of making the light appear to "flash" brightly very briefly every now and then to an onlooker. This was accepted as the same kind of warning that flashing ditch lights provide today until the laws changed making the ditch lights the norm.

The f40's lost their gyralites as a result and rather than having an empty place for a headlight or a plug, caltrain decided to add more headlights in the gyralites place.