I'll list the ones I think are great, but it's not my perogative to order them for you:
Dances with Wolves, Maverick, The Good, The Bad, and the Ugly, Once Upon a Time in the West, Shanghai Noon, The Shootist (John Wayne), Butch Cassidy and the Sundance Kid, Unforgiven, High Noon.
There's more, but check those out. Some of them aren't the best but they vary the selection.
Check out Clint Eastwoods stuff first, though, so you get sensitized to the western movie atmosphere before delving. It'll help you understand and relate to the times and stories a little bit more. But before you even do that start with Shanghai Noon and Maverick, because they're tame and you'll like them. Maverick is awesome.
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