Lots of great stuff mentioned already. I love some of the classic John Wayne movies like The Cowboys, Rio Bravo,and a bunch of others too.
Some of the more modern ones are also great: The Unforgiven (which demythologized the Western to a degree), Open Range, Tombstone, and my all-time favorite, The Long Riders with the Keach Brothers, the Quaid brothers, and the Carradines playing the infamous outlaw gang.
On television, you had to love Bonanza too, and who can forget the Lonesome Dove series?