Cheyenne, Wyoming’s capital, was named in honor of the Cheyenne Indians and used to be the US Cavalry’s largest outpost. It was founded in 1867 as a stop on the famous Union Pacific Railroad. The biggest attraction here is the annual Cheyenne Frontier Days Rodeo. It features 10 fun-filled festive days and is said to be the best in the US. Other highlights here include the Cheyenne Frontier Days Old West Museum, and the historical railroad displays at the Cheyenne Depot Museum.