Lonesome Dove (I think there are 5 movies; Dead man's walk, Comanche moon, Lonesome dove, Return to Lonesome dove, and Streets of Laredo). That series is a must see for everyone.
I'm a huge fan of Robert Duvall westerns; Broken Trail, Open Range, and he also did Lonesome Dove. Random Factoid: when he is bucked off the horse in that movie after the indians shoot at the horse, that was not scripted or planned and it was actually him that got bucked off.
I generally go more for certain actors too. Pretty much any western with Sam Elliott or Tom Selleck are going to be good.
Also, a lot of movies that have been made from Louis L'Amour books are usually good. Some are a bit cheesy, but still enjoyable. Louis L'Amour - IMDb
Tombstone is an absolute must see. IMHO, it is one of the best western movies ever made.
ETA: Oh, dear. How could I forget John Wayne? He's not among my favorite actors, but I still enjoy a great many of his movies and most of them were westerns. http://www.imdb.com/name/nm0000078/
ETA, again: I almost forgot about a not so well known movie called The Rounders starring Glenn Ford and Henry Fonda.