Exactly, forget this Pirate/Western nonsense, Castle is the way to go! But on topic now....
I've been thinking Pirates through reading most of this thread (excluding late 1990s, which were awful, and Jack Stone was, well, a horrible waste of time...), but it depends on what you want. Ships can be difficult to moc--at least for me, and I haven't seen too many great, different mocs out there either (yes I know of a few).
I like the Pirates line more than Western because it has better minifigs, both in type and quality, and many more sets (pirate, western). The Indians of the Western sets are more difficult to work with too. Not all Indians painted or dressed like that, so I'm kinda limited if I want to stay more accurate.
This fewer-sets thing presents a interesting point: Lego has only produced one line of Western, more or less, and what, three, four of Pirates? And Pirates are more pricey on Ebay. So the people have spoken to what is "best." Though neither have been seen for a while.... (ooh, does this mean Castle is the best by far?!? ;-) )
For displaying the actual sets Pirates wins too. Thinking about the Imperial Trading Post , it's open, visible, but still very playable--this was an amazing set as a kid. Fort Legoredo is nice, but not nearly as crisp.
I'll say that I have my pirate ship moc on my shelf, and three (small) tubs of Western stuff under my bed and in my closet. If someone were to offer to buy me one or the other, I would say Pirate, partially for nostalgia, partially because it's just downright cooler. I guess this means I'm choosing Pirates, but I certainly see good several good points for each. (Maybe I'm swayed some because I like that period of history more...)
Overall, my favorite themes are, in order: Castle, Pirate, Space, then maybe Western....
--nice topic by the way, you've gotten me out of lurker-mode, and writing too much