I agree with others that the omission of The Magnificent Seven is regrettable since it is fantastic, taking The Seven Samurai and adding enough to make it distinct enough to be its own movie.
I also recommend The Proposition as a great foreign Western. Ray Winstone, Danny Huston, Guy Pearce, Emily Watson and the ever fantastic John Hurt all put in a great performance (especially Hurt who steals the show), the setting is lovably bleak, music is pitch perfect and the ending was very hard for me to watch the first time around.
Finally, everyone should see at least the first season of Deadwood, which isn't so much a western as it is a wild west drama. It also features great writing and characters, finds a nice blend of drama and comedy, and great acting, particularly Ian McShane. I can't say anything for the other seasons of the show but the first is absolutely fantastic.