Fly into Billings, Montana.There is only one major airport in Wyoming (Casper), so your best bet is to fly into Billings and then drive south through the Crow Indian Reservation, and the scene of Custer's Last Stand, to reach the northern border of Wyoming. Wave your hat and shout, "Yippee!" as you enter; you're in the Cowboy State!
Rent a car, preferably one with four-wheel drive, especially in winter. Wyoming is the tenth largest state in the U.S., but it only has a population of a little more than a half million, and there is virtually no public transportation. Your wild west experience will be enhanced by planning a direct driving route from one end of the state to another.
Head south 120 miles to Sheridan, proclaimed America's #1 Western town by True West Magazine. This western horse mecca hasn't changed much since the 1890s, when Buffalo Bill Cody did the hiring for his famous Wild West Show from the veranda of the Sheridan Inn. The Inn, named The House of 69 Gables by Ripley's Believe It Or Not, still hosts Cody's long mahogany bar, and his revered bar stool holds its place three from the door. In summer, polo is a popular sport among local horsemen as well as imported players from as far away as Argentina, just as it was back in 1893. Queen Elizabeth II once visited Sheridan to purchase polo ponies and admire the famous Sheridan leather work, which you can still see being created at King's Saddlery downtown. You also owe yourself a drink in the notorious Mint Bar, a favorite cowboy watering hole since 1910.
Drive 30 miles south to the tiny town of Buffalo. Although they proudly claim that it is "not a one horse town," there really isn't much there, except the Jim Gatchell Memorial Museum, named after the town druggist who began collecting Native American and cowboy mementos and artifacts back in 1900. Equally entertaining, albeit a bit more on the racy side, is the collection of photographs, books, clothing and other historical items inside the lovingly restored Occidental Hotel. Originally a brothel, as well as a hangout for such luminaries as Butch Cassidy, the Sundance Kid, Calamity Jane and Buffalo Bill, the hotel was named one of the all-time great places to stay by National Geographic Magazine. Check out the funky cowboy showers downstairs, and then spend the night in the fancy Madam's quarters or the Owen Wister suite before continuing your Old West adventure.
Pack a lunch and start the 180-mile drive west to Cody. You'll go over the glorious Big Horn Mountains, through tiny Ten Sleep and the vestiges of towns that time has left behind, finally pulling into the lively city of Cody, known as the eastern gateway to Yellowstone National Park. In the summertime, it is all about the rollicking fun of Frontier Days, with amateur rodeos every night, downtown gunfights and the July 4 Cody Stampede, a nationally known major rodeo. The place to stay is the Irma Hotel, named after Buffalo Bill's daughter. It is not as beautifully restored as Buffalo's Occidental, but there's plenty of history to take in. The Buffalo Bill Historical Center, right in the middle of town, is actually five museums in one, including the biggest collection of American firearms in the world. After shopping downtown for a great cowboy hat or some custom boots, catch a plane from Cody's small airport and head back to your real life.