From a genre perspective, the background is pretty simple. Take a classic Western genre movie. Not one of the revisionist ones with all that realism stuff. Now add magic and zombies and things that go bump in the night. There you go.
From a gamer perspective, it's important to know that while the setting is weird, it's not anything-goes. Most people don't know just how weird things have gotten. They think that things get a little strange and that there might be ghosts and monsters... but there might not. Mostly, life goes on just as it did on the historical frontier. Most people don't believe in magic or monsters. Or at least, don't believe in them during broad daylight.
As far as character types, all the classic Western heroes can fit in - the gunslinger, the Indian scout, the wrangler, the gambler, and so on. Then you add a couple of magical options - the huckster, the shaman, and the blessed. The blessed is the simplest of those - some holy preachers can actually do miracles. The shaman isn't much more complicated - he's just a Native American priest. His powers are a little different, and his constituency is too, but he can do real magic. The huckster is the weirdest... they're more like wizards, in that they can cast a variety of spells, and they don't get them by worshiping spirits or being good. The problem is that they have to browbeat evil spirits into giving them the spells, and sometimes it doesn't go off quite right. Most hucksters learned their trade by decoding the hidden secrets of Hoyle's Book of Games - apparently he was the first, and secretly coded methods and spells into his books. Most hucksters visualize their contest with the evil spirits as a game of poker.
There are a couple other more exotic variations - the martial artist can be considered a type of spellcaster, and there are hucksters who focus on their guns and are called "shootists". But that's the basics. All of these magical traditions date back mostly to the 1860's. While a few priests before could do real miracles, and there were a tiny number of practicing hucksters, most magic just didn't work before then. Something changed in 1863. Some people in the know call it "The Reckoning". Most people just think things have gotten a little weird recently.
The year is 1876.
History proceeds pretty much as normal until the summer of 1863. The North and the South engaged in civil war just as in our timeline, only something went wrong after Gettysburg. There was some sort of giant mutiny on the battlefield - a lot of soldiers apparently went mad and started attacking their comrades. At the same time, U.S. Grant was robbed of his victory at Vicksburg when the plague called "the Wasting" swept the town. Vicksburg is deserted to this day. Also in July, the Union garrison of New Orleans was mysteriously massacred, and the relief fleet sent down the Mississippi sunk. After these disasters the Civil War was quiet for a while. Later engagements of the war have continued to be plagued by mutinies and disease.
In 1865 the Union was forced to lift the blockade of the Confederacy by British and French pressure. President Lincoln was assassinated, and Johnson began an inept presidency - he will take Grant as his Vice President when he is reelected in 1868. Also in 1865, Davis and the Confederate Congress push through a resolution freeing the slaves, offering citizenship to any who will serve in the army. By late 1865, despite Sherman actually marching through Georgia, the war is at a stalemate.
In 1867 Davis is reelected after the Confederate Congress changes their constituion to allow such an action. He continues to be president of the Confederacy, suspending elections and declaring martial law in 1873 when the opposition candidate is killed shortly before the election. This year he is allowing elections to go forward. His opposition is the famous General Robert E. Lee, though Lee is not so much running as being pushed. The North also has an election this year - Grant, elected president in 1872 (after Johnson was impeached in 1871), is running against Samuel Tilden, a peace candidate.
In 1868 the Great Quake pitches most of California into the ocean, leaving the rest shattered into "the Great Maze" - tens of thousands of twisty cracks filled with seawater winding their way into the shattered edge of the continent. The new canyons are discovered to contain large deposits of "ghost rock", a super-fuel that allows creation of amazing steam-powered devices, as well as a material to alloy with steel and many other uses. The Great Maze becomes a place to go get rich... or more likely dead. Ghost rock is later discovered in other places, such as the Black Hills, but nowhere in as great a concentration as in the Maze. Davis declares that California is no longer a Union state, and it becomes disputed territory along with Colorado, Kansas, and Oklahoma. Neither side can spare the soldiers to make a serious bid for any of those territories even to this day.
Utah is in a different state - it has declared its independence as "The Sovereign State of Deseret" to last "until the war is resolved". This is accepted because the continuing stalemate in the east leaves the Union without the manpower to dispute it. Salt Lake City has become a center of industry, with both Smith and Robards and Hellstromme Industries based there.
In 1871 Grant and shortly after Davis offer an exclusive contract to supply ghost rock to the government to the first railroad to lay a line to the Great Maze. Since then the leading companies have been engaged in the Great Rail Wars, in which there is no tactic too low to secure victory. Presently, the leaders are working their way into the Rockies, but it's still anyone's guess who the winners will be.
In 1872 Sitting Bull and other Lakota elders found the Sioux Nation in Wyoming and Dakota territories. Washington is forced to cede them the territory, not least because the Indians are surprisingly more able to resist modern armies than they were before. When ghost rock is later discovered in the Black Hills (in 1875), the Sioux allow the settlement of Deadwood to be created in the midst of their territory, and charge minders exploration and claim fees. Many of the Lakota embrace the Old Ways movement, and forswear the use of modern implements. In 1874 the Coyote Federation is formed in part of Oklahoma from the remnants of the tribes that have been pushed there. It allies with the Confederacy, which recognizes its independence.
Those are the big historical features, although there are many more events worth mentioning. In the North, the Pinkerton Detective Agency is functioning as a national police and anti-espionage force, so you'll find either Pinkerton agents or U.S. Marshals everywhere. In the South, the Texas Rangers perform much the same duties.
The most famous towns in the West are Deadwood in the Sioux Nation, Dodge City in Kansas, and Tombstone in Arizona, on the Ghost Trail to the Maze (by which the Confederacy receives most of their ghost rock). In the Great Maze, the two big towns are Shan Fan in the north, ruled over by Chinese Triads, and the city of Lost Angels in the south, a virtual theocracy run by Reverend Grimme.