Here's a bunch of my favorite westerns, although I can't list any as being an overall number one favorite. I will list them by a few favorite directors.
My list has a lot of John Wayne in it. Still, at first I'm starting my list by a few favorite directors. And for me, John Ford directed westerns have to lead the list.
Stagecoach (Ok, if I have to list a favorite, this could be it)
My Darling Clementine
Fort Apache
She Wore a Yellow Ribbon
Rio Grande
Wagonmaster
Searchers
The Man Who Shot Liberty Valance
Howard Hawks is another great director who did great movies in many different genres. He teamed with John Wayne for three of my favorite westerns:
Red River
Rio Bravo
El Dorado
Sergio Leone/Clint Eastwood
Fistful of Dollars
For a Few Dollars More
The Good, the Bad, and the Ugly (a main rival for Stagecoach for top western) - Lot's to love in this one, but especially Eli Wallach.
Starring Gary Cooper
The Westerner
High Noon
A few odds and ends:
Magnificent Seven (another great western performance by Eli Wallach)
Destry Rides Again
3:10 to Yuma (Van Heflin/Glenn Ford version)