Here's an image of 5766, Cowboy Roundup. This set is a Target exclusive that sells for $9.99 in the US. It is considered a farm set.

As Flash has indicated, I agree that some of the Farm theme sets have parts that work with the western theme.
Another set right on the top of my head is 3246 Horse-Drawn Cart. I think it has a real western look to it.
Have any of you used farm buildings or parts of farm buildings to build western buildings?