My absolute favorite western is Tombstone. I always like the iconic showdown story of the gunfight at the O.K. Corral, and I think this movie does it best. Plus, Val Kilmer is just amazing as Doc Holiday (plus seeing the dadass Colonel Quaritch from Avatar as the sniveling coward Ike Clanton is fun, too).
After that, it's hard to rate them in any sort of order, so here's just a list:
Silverado - I liked to think of this as a trope-filled homage to the westerns of yesteryear. "Today my jurisdiction ends here."
The Outlaw Josey Wales - One of Clint's best westerns with a show-stealing sidekick. "I reckon so." *spit*
Pale Rider - Some interesting metaphysical allusions, plus Clint kicking-butt with a hickory axe handle!
True Grit - One of the Duke's best! "Fill your hands you son-of-a-[censored]!"
Rio Brave/El Dorado - Basically the same movie with some casting differences, but still both are good, basic westerns about a sheriff trying to protect his town from the corrupt villain. Look for James "Sonny Corleone" Caan in El Dorado as a sawed-off-shotgun wielding fancy-pants!
Big Jake - Another good one from John Wayne, with a cast full of nepotism! "I thought you was dead!"
Unforgiven - My second-favorite Clint Eastwood western. Basically a deconstruction of all those classic western tropes and myths. "We all got it comin', kid."
The Adventures of Brisco County, Jr. - Steampunk meets western starring Ash...errr Bruce Campbell. Seriously, this show was ahead of its time and made of awesome. "Very fancy!"
Blazing Saddles - Iconic Western/Comedy from Mel Brook. Would NEVER get made today, but before decrying it as racist, look at the writers (Richard Pryor was one of 'em).
Support Your Local Sheriff/Support Your Local Gunfighter - Two good Western/Comedies starring James Garner and Jack Elam. They're basically the same plot (with most of the same cast!), but different settings. Fun movies. One features a jail with no bars successfully keeping a bad guy at bay!