I wanted to sound all literary, but these guys beat me to it! Empire of the Summer Moon and the rest.
Tough Trip Through Paradise is a good one and touches a little on plains and Western Indians, as are the books about the Lewis and Clark expedition.
There are also books in the category of "Captivity Narratives", look them up on Wikipeadia. Most are racist, biased from the perspective of the person captured and I'm sure I would have been the same were it me. However, those books and narratives give a good look at daily life and habits, very interesting.
The Bloody Bozeman about the Bozeman Trail, a book about the travels of Zenas Leonard and River of the West about Joe Meek is really good.