Welcome and congratulations for choosing GURPS to Gef's nephew.
I personally tend to go for the happy medium between a total lack of surprise and a complete bait-and-switch when I do that sort of thing: Tell the players that the setting will appear normal at first, but that they will eventually discover something weird or experience some sort of mind-screw, without telling them what or how specifically. If they buy into that, they have given their explicit consent for you to flip the script on them, but can still be surprised, excited, etc.
Check out
this thread for lots and lots of easy to use Old West templates with variable levels of cinematicism.
Good luck!