It's hard to pick an absolute favorite, but if I did....

"The Good, The Bad, and the Ugly" would be the one.

Some others that I'd rate very high:

Hang 'Em High
Red River
The Big Country
The Magnificent Seven
Son of the Morning Star (was a 2 part TV movie)
For a Fistful of Dollars
For a Few Dollars More
Unforgiven
The Assassination of Jesse James by the Coward Robert Ford
Dances With Wolves (Slightly different category? But I love it.)
Geronimo
The Alamo (the recent one)
Lonesome Dove