Yes, Kyle in the comments section below was right. I completely forgot about the 2003 climax of Open Range. Kevin Costner's Open Range is arguably the best western of the last ten years. It also contains a fifteen-minute action climax that is truly one of the best western gun battles in cinema history. Long, sprawling, and expertly staged, this action scene also generates plenty of suspense due to the sheer amount of 'good guys' and innocent bystanders in peril at all times. We don't know if the movie is going to have a happy ending or a downer climax, so every moment is tense as our heros and their friends are in constant jeopardy. I still love the gunfight in Four Brothers (itself a remake of John Wayne's The Sons of Katie Elder), but I must concede that Open Range has a superior shoot-out. As for my neglecting to mention it, I can only blame amnesia.
Two others that deserve mention, if only because the decade was so lacking in epic shoot-outs (blame Columbine I suppose):
The International - The movie is a confusing muddle and this scene lacks any real emotional impact, but it's an impressive display of action editing in an otherwise low-key political thriller.
Way of the Gun - The actual gunplay isn't all that impressive by itself, but there are pathos galore at the end of this underrated crime drama. But more interesting is the opening action scene, which subverts action cliche by A) having the entire shoot-out take place offscreen with only the noises and screams being heard and B) having our antiheroes murder several innocent bystanders and allowing the camera to linger on their corpses and their grieving relatives for dramatic effect.