The Westerner is out in a nice DVD set
with commentaries on some of the episodes. With only 13 one-half hour episodes it fits on two DVDs and sells for around $14. Peckinpah did other TV work too, more writing than directing but he did direct on a number of shows. He wrote alot of early Gunsmoke and helped develop The Rifleman. Fans of Ride the High Country will be interested in episode 4 of The Rifleman, "The Marshal."
Even more than with Deep Purple I'd say Rainbow's live stuff is their peak.
I'm not familiar with Joss Whedon in general but Firefly is really good. I might even check out the comic books, since they fill in some of the stuff that would have made it into the TV series if it hadn't been canned to fast.