One place to start might be Owen Wister's _The Virginian_, which arguably
began the genre in the US. It became the loose basis for a TV series of the same name in the early 60's starring James Drury. Madame Broshkina contributed a
Sony Reader version to MobileRead
Zane Grey was already been mentioned as classic westerns. Project Gutenberg of Australia has a fair bit of Zane, and pointers ot others,
here
But while Bret Harte is mentioned in this thread and it worth reading, I have a hard time classifying him as writing westerns as the term is normally used. His stories tend to be California gold rush tales, which aren't quite the same thing.
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Dennis