Ennio Morricone's music is very closely linked to the scenes in the Italian Westerns, in a way that is more ironic than heroic or sentimental. For example, the whistling in Hollywood films was carefree and symbolic, but in the Italian films it becomes sinister. The Italian composers were (are?) also very experimental, creating surreal soundtracks with fuzz guitar, harpsichord, cries and grunts. The idea was to portray less glory and to more reflect the harsh environment. It would have been interesting to hear Morricone score great American films like Shane or The Alamo.
I have never seen Volume I of this series!
I haven't heard it, but there is an album called We All Love Enno Morricone (2007), with Metallica, Roger Waters, Quincy Jones, Deodato, Celine Dion and Bruce Springsteen. It looks pretty good!