Monument Valley

Monument Valley, part of the Navajo Nation within Arizona and Utah, since the 1930s has been the location of many films.
It is perhaps most famous for its use in many John Ford movies, including Stagecoach (1939) and The Searchers (1956).
As a tribute to Ford, also Sergio Leone used this location for one of his masterpieces, Once upon a time in the West (1968).
More recently the road leading to Monument Valley was used in Forrest Gump (1994) when, after more than 3 years of running, the protagonist says he's pretty tired.