There are so many movies I love, I can't even begin to list all of them. If we're going with Western themes, Unforgiven was a very good movie, probably one of Clint Eastwood's best works in his acting and directing.
Going with what Totenkopf said, Indy 1 and 3 are adventure classics, and Sean Connery really makes the third movie.
Are you one of those poor Macintosh gamers that are in the possession of Empire at War, yet because of the scarcity of Mac players out there you have nobody to play against? If you are, PM me if you want to set up a game.