If you haven't heard of it, check out
Malifaux by Wyrd Games. It's a skirmish miniatures game and it's awesome. The miniatures are beautiful (but they're freakin' small which isn't good for my bad eye-sight and mediocre painting skills) and the game is truly scenario/objective based as opposed to just run at each other and kill everything. That's not to say that there isn't tons of combat because there is but wiping out your opponent's models doesn't necessarily win you the game. You randomly determine your objective at the start of the game and can achieve a minor or major victory (or fail, of course). In addition to that, you can pick up to two "schemes" for yourself which are different objectives and you can either keep your schemes secret or announce them for double the points.
The other unique aspect of Malifaux is that the random number generation is done with a deck of cards, not dice. You can use a deck of conventional playing cards but Wyrd Games also makes custom "fate decks" that have a bit of extra information on the card and custom suits instead of the conventional card suits. Whenever you try something (like attack) you add your ability to the number on the card flipped. If it's not enough to succeed, you can "cheat fate" by substituting a card from your "control hand" (six cards drawn from the deck at the beginning of the game which replenish every turn). Some abilities require you to match the suit of the card to the ability you're using, as well.
It's pretty hard to find a faction in the Malifaux universe that you wouldn't like. Even within the factions the options are broad and the selection of models is diverse. The factions are:
The Guild - the defacto protagonists with a definite "gunslinger" theme; their models would work great in the Deadlands setting.
Resurrectionists - Victorian-looking models with a theme of controlling/raising undead.
Arcanists - Magicians with minions of both monstrous/bestial and steam-punk aspects.
The Neverborn - The "creepy" faction with lots of childhood nightmare type stuff including a baby with a giant knife and a giant teddy bear with razor-like fangs.
The Outcasts - Humans, gremlins, and pigs (real no-foolin' pigs) on the fringe of society.
It's a pretty affordable game as far as minis games go. If you focus on a particular faction and "Master" ("Masters" in Malifaux are analogous to Warcasters/Warlocks in Warmachine/Hordes) you won't need more than 8-12 models. Here are some pics of some of the box sets available which give you all the models you'd need for the minimum sized game (and they are all very competitive and complete). I'll post one box from each faction but there are multiple boxes per faction available:



