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A couple of the important surveys of Western History: I recommend Clyde A. Milner II, et al., eds., The Oxford History of the American West; Patricia Nelson Limerick, The Legacy of Conquest; Ray Allen Billington and Martin Ridge, Westward Expansion (5th edition); Richard White, "It's Your Misfortune and None of My Own": A New History of the American West; Robert Hine and Edwin Bingham's The American West; and the two D.C. Heath readers which address the West, Sucheng Chan, et al., eds., Peoples of Color in the American West, and Clyde Milner, ed., Major Problems in the History of the American West.
Then I would read two of the important defining works of Western Studies: Frederick Jackson Turner's "Frontier Thesis" (try to get the new edition that John Mack Faragher edited and annotated), and Walter Prescott Webb's The Great Plains.