On the recommendation of Rebel FM's Game Club, and because console versions were hard to find, I picked up GUN on Steam. It wasn't the cheapest option, but it was still inexpensive and by far the most convenient.
Although I succeeded in getting it to run on Linux via Crossover Games, the hassle of glitches and poor frame rates drove me to run it in my Windows XP partition instead. There it ran just right with one notable exception.
It crashes from time to time.
What's worse is that it has no autosave. Even knowing that, I managed to get bit by it when the game crashed and I lost all my progress. I need to get back into the habit of saving every minute or so. Thankfully it does have save-anywhere.
I'm not sure whether it's my chemo-numbed fingers, the game having been originally designed for consoles, or my growing comfort with playing first-person shooters on console controllers, but I found GUN much easier to play using an Xbox 360 controller than with mouse-and-keyboard.
I've enjoyed what I've played of it - it comes across like a Western movie, recycling clichés from the genre without feeling clichéd itself. It's quite fun, and I'll be playing more of it in the future.