For an western destination wedding, you can't get more "western" than Wyoming, The Cowboy State. Its history is the history of western movement, and as "the first state in outdoor America" it is the gate to all points west. Native American history and culture are prevalent in Wyoming.
For natural attractions, you could not ask for more: Yellowstone National Park and the Grand Tetons, as well as the Rocky mountains boast beauty beyond compare. There are hunting lodges, guest and dude ranches, and fabulous resorts for those who do not "do rustic." For those who would rather thrill seek than be pampered, Wyoming has remarkable river rafting, mountain biking, and skiing.