James West was a Captain in the U.S. Army before he joined the Secret Service.
Jim and Artie's train was missing at least three railcars in most shots. The cars that were not shown would be where they kept their horses, where the train crew was boarded and where the two of them slept.
The opening credits as originally designed for the pilot (and included on the season 1 DVD) show the animated cowboy knocking down the woman trying to stab him. In the first season as aired, the cowboy kisses the woman, who dreamily turns away instead of trying to stab him. Later episodes reinstated the cowboy knocking the woman down.