My favorite Western is The Outlaw Josey Wales, but you may have already seen it since it's an Eastwood film.
Magnificent Seven is one of my favorites. Based on 7 Samurai... awesomely awesomeness!
High Noon really stands out
Hmm, I'm a big fan of John Ford, I'd say The Searchers is probably his best western (Starring John Wayne,) Or maybe Stagecoach (also starring John Wayne)
The Gold Rush from 1921 starring Charlie Chaplin is wonderful, it's not really 100% a "true" western, but it's damn good.
The Ox Bow Incident was really great, Henry Fonda is really an incredible actor
I thought Django was good, though not really one of my favorites as it really hasn't aged that well IMO, but it was "ultraviolent" compared to pretty much every movie made before it...