The Gunfighters (TV, 1966) - the First Doctor has a toothache and visits a dentist who turns out to be Doc Holliday in Tombstone, Arizona. (Doc Holliday and Kate were the last historical figures to appear on Who until George Stephenson in 1985.)
Doctor Who - The Gunfighters (novelisation, 1986). Listed separately because it is one of the best of the Target novelisations, telling the story largely from Doc Holliday's point of view on his deathbed years later.
A Town Called Fortune (Big Finish audio, 2010). The Sixth Doctor and Evelyn Smythe visit a town where the Doctor appears to be wanted for murder.
The Peacemaker (Novel and audiobook, 2007). The Tenth Doctor and Martha find themselves trying to thwart an alien invasion in the Old West.
And of course tonight's offering...
Edited to add: Thanks to nimbusxl jogging my memory I should also include:
Freakshow (Big Finish audio, 2010, available in this set). Turlough gets kidnapped and displayed as a carnival exhibit.
The Runaway Train (BBC audiobook, 2010): The Eleventh Doctor and Amy have to prevent global catastrophe and catch a train. Also has a neat time paradox (foreshadowing The Pandorica Opens).