For a deep dive into Cheyenne's pioneer past and rodeo present, visit this museum year-round on the Frontier Days rodeo grounds. It is chock-full of rodeo memorabilia, from saddles to trophies, displays cowboy art and photography, houses a fine collection of horse-drawn buggies, and dispenses nuggets of history – such as the story of Steamboat, the un-rideable bronco who likely isn't the one depicted on Wyoming's license plates (though many will tell you he is.)
A hands-on children's gallery keeps tykes occupied in make-believe land.