The Girl Who Loved Wild Horses by Paul Goble. We enjoyed a number of books by Paul Goble. This one is a Caldecott award winner I snagged at our last library sale. We moved on to some others (like Mystic Horse and Her Seven Brothers, but I think First Son and First Daughter liked the Iktomi and the Berries best. Our library has some other Iktomi books and we'll be reading them all, I think.
Mr. Goble is a native of England, but is now living in South Dakota. His illustrations are true to Native American clothing and weaponry. He's also been adopted into the Yakima and Sioux tribes. You can read more about him here and here.

The Legend of the Lady Slipper by Margi Preus and Lise Lunge-Larsen is a similar story of the courage and strength of a little girl who journeys through a winter night to bring back medicine for the people of her village. First Son wasn't quite as interested in this one, but I liked it.
The Sunflower Garden by Janice May Udry was another one I picked up at our library sale. (I had Native American stories on my mind.) In the story, a young girl grows the first sunflowers in her village. She is sadly ignored by her father at the beginning, but earns his respect by killing a rattlesnake (saving her baby brother and endearing herself to First Son forever).

Crazy Horse's Vision by Joseph Bruchac, illustrated by S.D. Nelson. We read this one too early as Crazy Horse lived in the mid-1800s, but I couldn't find Gift Horse (listed below) so I grabbed this one instead. After reading Mr. Bruchac's book above, I checked out a few of his others. This one, illustrated by S.D. Nelson, is a vibrant look at young Crazy Horse's life. I think it would complement well one on his later life. I think we'll be reading some more of Mr. Bruchac's works later on, as well.
In 1492 by Jean Marzollo, illustrated by Steve Bjorkman. First Son loved the illustrations in this book. I think he loves to look at pictures of little boats alone on a vast ocean. We're reading a few now (Pilgrims and Europeans heading to the new land, now that it's October) and he seems fascinated. I think there are better books on Columbus, though. (I found Follow the Dream: The Story of Christopher Columbus just recently, which we'll be reading this week or next, and there's always Columbus by the famous D'Aulaire team.)

I found a great many of these books at Oyate. They have some harsh reviews of classics near and dear to many hearts (like the Little House books and The Courage of Sarah Noble), but they also have an extensive list of books which contains many excellent suggestions. (I haven't decided how I feel about everything they write on the site. Though I still intend to read many of the books they disavow, I can't help wondering how I'd react if Catholics were portrayed the same way especially if my children were forced to read such a book in school.) [Edited in June 2012: Oyate has removed their list of books to avoid and replaced it with a guide to discerning books. We still read some of the books they would discourage, but we talk about them a lot more. I think their guides are worth reading.]
We've moved into the 1600s and will read about the Revolutionary War before October is over. I'll be sure to post about those books. Let me know if you have any suggestions!