The first question that needs an answer is do you mean a train or the locomotive. Following on from that do you mean normally replaced on shed or at overhaul. For a train the most likely components are brake blocks. For a locomotive brake blocks and firebars come to mind as things that can easily be replaced on shed when the loco is stopped and out of steam.
Almost all parts of a Victorian train or locomotive could be replaced but very few needed replacement between visits to the works. Other components could be reworked while the loco was stopped. Axle boxes and bearings could be re-metalled on shed and firetubes in the boiler could also be replaced. The only thing that I can think of that could be replaced while running would be the water level gauge glass.
To provide a more comprehensive answer a little more info is needed.
