Stay away from Lobo, written by Ryan Bodie.
You can’t go wrong with any of Elmore Leonard’s westerns. I wish he had written more of them. I also agree with Richard–W; Loren D. Estleman writes topnotch western fiction. I’ve read pretty much everything he’s put out there. And McCarthy’s Blood Meridian(as shown above), to me, is a fantastic book.
I enjoy books about Wild West written by polish writer Wiesław Wernic. Unfortunately I don’t know anything about english versions of these books 
A Road Paved In Iron
Set at the beginning of the Civil War, six-guns, grit, and American badassery!
Blood Meridian took me a few chapters (and a couple of tries, if I’m honest. I abandoned it, and then went back to it, starting from scratch) to get into it, to get past that weird almost-punctuation-free writing style. But what a book! Everything that I want from the western genre. Absolutely brutal, one of the best books I’ve ever read.
“Riding down the unhorsed Saxons and spearing and clubbing them and leaping from their mounts with knives and running about on the ground with a peculiar bandylegged trot like creatures driven to alien forms of locomotion and stripping the clothes from the dead and seizing them up by the hair and passing their blades about the skulls of the living and the dead alike and snatching aloft the bloody wigs and hacking and chopping at the naked bodies, ripping off limbs, heads, gutting the strange white torsos and holding up great handfuls of viscera, genitals, some of the savages so slathered up with gore they might have rolled in it like dogs and some who fell upon the dying and sodomized them with loud cries to their fellows.”
Anyway, I’ve downloaded quite a few western short-story collections from Amazon to my Kindle. I’ve only read a few of the short stories and quality varies as one would expect. But, for the cost, they’re well worth a punt at least:
The Western Megapack: 25 Classic Western Stories - £0.49p
The Cowboy Megapack: 25 Western Tales by Masters - £0.49p
The Second Western Megapack - £0.59p
Collected Western Stories of Robert E. Howard (Unexpurgated Edition) (Halcyon Classics) - £1.28p
A Fistful of Horrors: Tales of Terror from the Old West - £1.98p