The only ones that I'm aware of are thin gases or helium-II. The latter is rather impractical to use for a great many reasons. But I'd be interested if anyone has other suggestions.
The liquid will move at the desired travel velocity, so I believe the latter will be important.
Saying it stores a lot more energy when it moves is like saying that we should make our train cars heavier so that we can recover more energy by regenerative braking.