Strictly for historical purposes, Kidnapping by Indians (1899), supposedly the very first Western ever made, ironically in Blackburn, England!

Then there's the films of Broncho Billy, the first Western movie star, and his competition William S. Hart and Tom Mix. I've no particular recommendation for any of these cowboy movies as they're all pretty short and you could see a handful in less than an hour.

Once you get into Gene Autry, John Wayne and Roy Rogers, you're in the sound era (circa 1929). At that point, see anything by the late, great John Ford, pardner!

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Not a silent era film, but you should add High Noon (1952) to your list of classics to watch. Gary Cooper and Grace Kelly and loads of tension.