The Great Train Robbery is a silent western produced in 1903 by Edwin S. Porter, a former cameraman for Edison Studios. The film was shot in Milltown, New Jersey (there was no Hollywood as we know it, yet).
The twelve minute film is one of the milestones of American cinema. Porter incorporated new techniques which would quickly become industry standards. Porter used cross-cutting (two different scenes occurring simultaneously in different locations are intercut with each other). Today, this technique is used so often, we hardly recognize it, but it had to get a start somewhere.
The film is now widely accepted as not just the first action film, but also the first true western. The plot is simplistic, following a gang of bandits as they rob a train and escape. Meanwhile, a posse is formed to hunt down the murderous bandits and wipe them out. Yes, this all occurs in twelve minutes!
The final (sometimes the opening) shot is the most memorable scene in the film. An additional scene of the film presents a medium close-up of the leader of the bandits, who empties his pistol directly into the camera.