(Dedicated to Jan and Johnny of course!)
Apart from a cheesy song by Village People and Pet Shop Boys to go west can mean to die.
Sadly, he's gone west. It probably originated from the days of early exploration of North America.
Someone who goes west is Johnny Depp in one of his earlier and much less commercial films.
It's called Dead Man and I really recommend it. It's a kind of western but seriously weird and original.
Here's the soundtrack.