Can Shoot-out
With the children divided into two teams, give the cowboy team some water guns and the Indian team some child-friendly bows and arrows. Line up empty cans or plastic bottles. Have children attempt, one at a time, to shoot down the cans and bottles. The team knocking down the most objects wins the game.
Traditional
Divide the children into two teams. The teams then attempt to sneak up on the other team and shoot them, either mimicking guns with their hands or using water guns. Children who are "shot" must play "dead." The team with the most players left wins.
Chase
Divide the children into two teams, but choose one child or adult to be the watcher. Have the teams line up at opposite ends of the yard or playground. The Cowboys initially face away from the Indians and the Indians sneak toward the Cowboys. When the watcher decides the Indians are close enough, he shouts "Here come the Indians!" and the Cowboys turn around and chase the Indians. Any Indian who makes it back is safe, anyone caught is out. Repeat with the Indians.
Treasure Hunt
Choose some cowboy and Indian related items, such as feathers or hats, and hide them around the house or yard. Divide the children into teams and set them searching for items. The first team to get all the items wins.