Late to this party but better late than never. I have Bluemoon, Peter Pig, Minifigs, Freikorp (Yellow Ribbon Range), Irregular, Hovels, and one other company of some very old figures and some that are very new and really nice but a small range (both names escape me at the moment). Irregular are the largest figures, bigger than Bluemoon, Hovels are the smallest - but they also have some unique elements.
If you wanted a one-stop-shop then Peter Pig actually probably beats out Bluemoon but not for individual poses - no one comes even close to Bluemoon's Old West plus the other ranges for cavalry and Indians including Apaches, tons of unique sculpts. What they don't have is much in the way of wagons for a wagon train - they have a Conestoga but that is a good way to get a pilgrim buried on the plains, what you want are prairie schooners, much lighter wagons - see Peter Pig, who also have army supply wagons and chuck wagons. Bluemoon does, however, have buckboards and buggies - and be certain to check out the wagon range in the Napoleonic offerings, very useful.
Also, Bluemoon does not have railroad trains; Peter Pig is the source for that (and QRF/Freikorps the source for track!). Several options for stagecoaches - though no purpose made mud wagons (the real workhorse of the west) and no one makes a horse drawn hearse, damnation and thunderation! Bluemoon does make a model of the Camp Far West, the steamer used during the Little Bighorn Campaign, nice model and looks the part pretty good.
For decking out a native village, many sources of teepees - and the Hovels range has fire pits, animals roasting, skins stretched and either a bear or buffalo skin. They also have a pony express rider.
If you want to do Old West and Plains Wars, in my opinion - and not just because it is my figure size of choice, 15 mm provides the greatest variety of choice.
Peter Pig has a bunch of mounted, on foot, dead sets. Bluemoon has a lot of figures that can match to certain movie characters - study the pictures closely.
A set of rules that might be hard to track down but I really like and am using as my core is Bite the Bullet from the old GFI/Minifigs stateside. More focused on the Old West versus the Pony Wars, though.
Both Yellow Ribbon and Pony Wars are good - but you need a lot of figures (not a problem for my collection - which is actually in the process of getting painted, finally!). Could not get on with the Peter Pig rules Hey You In the Jail or its recent rewrite Western (essentially the same rules apparently). Seems silly to require you to bring figures for the game and then dice them right out of the game, weird. But they have a following.
I'm not for absolute certain but I think I have figures from everyone who makes Old West/Pony Wars figures in 15 mm. Whatever you decide, it should be fun. Always seems Old West games allow for more of the lighter side of gaming which is always a good thing.
Little Bighorn always seems to be on everyone's list but Rosebud is a better fight for both sides. Also, don't neglect the actions from the Nez Perce war.
Now go learn the lyrics and tune for Garrey Owen! And have fun.