The best modern Western, and one of the best of all time in my opinion, is Unforgiven. As for older movies, the ones that have already been mentioned are all pretty good, as is McLintock! (referred to by somebody in the fight scene thread), though it's fairly misogynistic in a perniciously lighthearted way. The "Spaghetti Westerns" such as Fistful of Dollars, A Few Dollars More, and The Good, the Bad and the Ugly are all incredible. Pretty much any random John Wayne movie is worth your time, though Stagecoach (his first) and The Shootist (his last) are two of the best; also recommended are Eldorado and True Grit. Many film critics list The Searchers as the best John Wayne movie ever made, and it frequently turns up very high on their all-time movie lists, but I have yet to see it.
By the way, True Grit has one of my favorite movie quotes: "If I ever meet a Texan that ain't drunk out of a muddy hoofprint, I'll buy him a cee-gar."