Learn German: Dort ist der Bahnhof. - The train station is over there.

Because the train station is not moving! The current lesson covers hin (away from you) and her (towards you) to show movement. Since the station is just sitting in one place, we use the static location word dort (there) rather than the directional word dorthin (to there).

Could I change the word order and say Der Bahnhof ist dort?

Yes, absolutely. Putting dort at the beginning of the sentence just adds a little more emphasis on the location, as if you are pointing. Notice that the verb ist stays strictly in the second position either way.

What is the difference between da and dort?

Both words mean there, but dort usually implies that something is further away from the speaker (over there). The word da is more general and can mean right there nearby, or just there in a general sense.

Why is it der Bahnhof and not den Bahnhof?

The verb sein (to be) does not take a direct object. It acts like an equals sign linking two things. Because of this, both sides stay in the nominative (subject) case, so the masculine noun keeps its basic der form.