I wanted to second (or third) the vote for "Lonesome Dove", the 1989 miniseries with Robert Duvall and Tommy Lee Jones. It's the story of two old Texas Rangers who decide to have one last great adventure to drive a herd north to Montana and lay claim to a new ranch. Duvall is fantastic as the fun-loving but lethal 'Gus' McCrae and pairs well with TLJ's stoic, laconic Woodrow F. Call.
It's not only one of the greatest Westerns ever made, it introduced a level of drama and realism to the genre that paved the way for films such as "Unforgiven" and "Open Range." It's one of those stories that's just way too good for TV, but would never be made into a movie. It's pretty brutal, although not nearly as overtly bloody as "The Wild Bunch" or some of the Italian Westerns. I remember it was a surprise success when it aired on network TV and it spawned a long line of sequels of mixed quality. It's done very well on DVD and can be found almost anywhere for a reasonable price. Probably the best bargain around for so many hours of entertainment.
It's also one of the few Westerns that has the ring of truth to it. The actors are dirty and dusty, and their complex and mixed motivations jibe with the true west. The line between the bad guys and the good isn't always clear, and the line between a heroic quest and a drive for personal gain is very hazy.
It has some great gunfights in it, including a classic "shoot your own horse" scene where McCrae uses a mix of guile and marksmanship to rip apart a band of Comanchero nogoodnicks. Call's infamous temper is pretty impressive when displayed, and it leads to one scene where Call gallops into a man and rams him clean off his horse then beats him in the head with a branding iron until roped and drug off him. It's worthy of John Wayne. Both Call and McCrae employ sound tactical judgment, avoiding fights where the risks are too high and using surprise and trickery when possible.