Inclusion Criteria:

          -  Patient must have an original diagnosis, benefited by autologous transplantation,
             confirmed by biopsy* of high-grade glial tumor, low-grade glial tumor, ependymoma,
             medulloblastoma, primitive neuro-ectodermal tumor (PNET), Wilms' tumor,
             rhabdomyosarcoma, Ewing's sarcoma, retinoblastoma, or miscellaneous poor-prognosis
             solid tumors. Lymphomas and other lymphoid malignancies will not be studied in this
             protocol.

             * Brain stem glioma patients who have progressed after radiation therapy do not
             require histologic confirmation. Brain stem gliomas are defined as intrinsic tumors of
             the pons causing diffuse enlargement. These patients are diagnosed on clinical and
             radiographic appearance of the lesion and the biopsy requirement will be waived for
             this group.

          -  Patient must be ≥ 6 months of age and ≤ 21 years of age at the time of study entry.

          -  Patient must have a Karnofsky performance status or Lansky* play status ≥ 50

             * For purpose of determining performance scores, wheelchair-bound patients will be
             considered ambulatory.

          -  Patient must have an adequate supply of stem cells for transplant harvested prior to
             study enrollment, with adequate supply defined as 3 x 10^6 CD34+ cells/kg for
             peripheral blood stem cells (PBSC). Cell mobilization method will be left up to the
             treating physician's discretion and may include mobilization growth factor alone or
             mobilization after chemotherapy. If patient is unable to mobilize the proper amount of
             peripheral stem cells, bone marrow may be harvested as the source of hematopoietic
             stem cells. In this instance, 3 x 10^8 mononuclear cells/kg will be considered
             adequate. If necessary, a combination of peripheral stem cells and bone marrow can be
             used.

          -  Prior radiation therapy and/or chemotherapy, including cyclophosphamide, are
             permitted.

          -  Prior anti-angiogenic therapy, including thalidomide and oral cyclophosphamide, is
             permitted.

          -  If on corticosteroids for mass effect and/or edema related to the tumor, patient must
             be on a stable or decreasing dose for at least 2 weeks prior to study entry.

          -  Patient must have a life expectancy > 3 months.

          -  Patient must have an adequate bone marrow reserve as defined by:

               -  Hemoglobin ≥ 8.0 g/dl and

               -  Peripheral absolute neutrophil count (ANC) ≥ 750/mm3

          -  Patient must have adequate cardiac function tested within 4 weeks of study enrollment
             as defined by:

               -  Shortening fraction of ≥ 27% by echocardiogram or

               -  Ejection fraction of ≥ 50% by radionuclide angiogram

          -  Patient must have adequate pulmonary function tested within 4 weeks of study
             enrollment as defined by:

               -  Pulse oximetry > 94% on room air or O2 by nasal cannula and

               -  No evidence of dyspnea at rest.

          -  Patient must have adequate hepatic function as defined by:

               -  Total bilirubin ≤ 1.5x upper limit of normal (ULN) for age and

               -  SGOT (AST) or SGPT (ALT) ≤ 2.5 x ULN (SGOT ≤ 4x ULN if on Zantac)

          -  Patient must have adequate renal function as defined by:

               -  Serum creatinine < 1.5 mg/dl

               -  Glomerular filtration rate (GFR), calculated via I-125 iothalamate clearance,
                  24-hour creatinine clearance, or Schwartz formula*, ≥ 70 mL/min and ≥ 50
                  mL/min/1.73 m2 done within 4 weeks of study entry

               -  The Schwartz formula is an estimated glomerular filtration rate in children based
                  upon serum creatinine and height. Height (Ht) should be measured in cm and serum
                  creatinine (Cr) in mg/dL. Proportionality constant (k) is 0.55 for children and
                  adolescent girls and 0.7 for adolescent boys aged 13-21. This constant is based
                  upon a series of evaluations performed by Schwartz. Formula: GFR= (k x Ht)/Cr

          -  Enrollment in the Celgene THALOMID REMSTM Program:

               1. If enrolled in Arm III of this study, patient must be registered at the Celgene
                  THALOMID REMSTM Program prior to day +30 post-ASCR.

               2. If enrolled in Arm III of this study, patient must be willing to practice birth
                  control as outlined in the THALOMID REMSTM Program from the beginning of the
                  thalidomide treatment until at least 4 weeks following discontinuation of
                  thalidomide therapy. Two reliable forms of contraception must be used
                  simultaneously unless continuous abstinence from heterosexual sexual contact is
                  chosen. Contraceptive methods must include at least one highly effective method
                  (e.g. oral contraceptive pills, injections, hormonal patches, IUD, or implants),
                  AND one additional effective barrier method (e.g. latex condom, diaphragm,
                  cervical cap).

                  If hormonal or IUD contraception is medically contraindicated, another highly
                  effective method or two barrier methods must be used at the same time.

               3. Pregnancy surveillance:

             i. Patient must have a negative in office pregnancy test sensitive to within 50 mIU/mL
             (serum or urine) within 24 hours prior to beginning thalidomide even if continuous
             abstinence is the preferred method of birth control. ii. A pregnancy test must be
             performed weekly during the first 4 weeks of therapy and repeated monthly for patients
             with regular menses or every 2 weeks for patients with irregular menses iii. Negative
             pregnancy tests are valid for only 7 days. iv. If irregular bleeding or skipped
             menses, pregnancy test should be performed and pregnancy counseling given. v. If
             pregnancy occurs during treatment, thalidomide must be immediately discontinued. Any
             suspected lethal exposure must be reported immediately to Celgene Customer Care Center
             at 1-888-423-5346, and the patient referred to an OB/GYN experienced in reproductive
             toxicity for further evaluation and counseling.

          -  Patient (or legally authorized representative) must be able to understand and willing
             to sign a written informed consent document.

        Exclusion Criteria:

          -  Patient must not have any active, uncontrolled cardiac, hepatic, renal, or psychiatric
             disease defined as ≥ grade 3 based on NCI Common Terminology Criteria for Adverse
             Events v4.0 (CTCAE).

          -  Patient must not be receiving any other investigational agents.

          -  Patient must not have any active infection or concurrent illness obscuring toxicity or
             dangerously altering drug metabolism.

          -  Patient must not have any thromboembolic event (deep vein thrombosis or pulmonary
             embolism) less than 3 weeks prior to enrollment.

          -  Patient must not have a history of allergic reactions attributed to compounds of
             similar chemical or biologic composition to any of the agents used in the study.

          -  Patient must not be pregnant or breastfeeding.