I have to 2nd Desperado, and Last Man Standing was a fun movie too (even though the director claims it's a remake of Yojimbo, as if he never seen a fistful of dollars)
The Good, The Bad and The Weird out of Korea was a great, highly stylized Eastern-Western. I was lucky enough to catch it on a flight to Japan, especially since I don't think it has much distribution here in the US where I am.
Oh, and I almost forgot No Country For Old Men. I think that technically has some western elements... and I'm just a huge fan of Cormac McCarthy.