The things you learn from Cracked.com: The Monkees' "Last Train to Clarksville" was a Vietnam War protest song. According to the songwriters Tommy Boyce and Bobby Hart, they had to be subtle about their anti-war beliefs because, well, it was The Monkees we're talking about. Their fan base would probably not have gone for it -- not to mention the producers of the television show. (Sort of like how the fans didn't really go for Jimi Hendrix opening for the band, either.)
The lines "We'll have one last night together, 'Til the morning brings my train and I must go.... And I don't know if I'm ever coming home" should have been a dead giveaway, though.