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The settings are as limited as your imagination... look at the wild west story we wrote. Eveything from shrines to book depoisitories, bars and all.
You can always add railways and things, too. There's plenty to do in the wild west. It's a whole world out there, you know.
There wouldnt be much variety to the game, is what im trying to say.
Look at a game like GE, there are levels all over the place, on a train, in the snow, in buildings etc etc. The great thing about the game was the variety of levels, all the different locations you got to go to.
If there was a Wild West FPS then it would get repetitive very quickly.
It may be an idea to have some levels of an FPS in a Wild West town, but i dont think many developers would base a whole game there.