The 1860 Henry reproduction (above) is historically accurate and doesn't seem to have many feed problems, but loading is a problem, especially if you have to reload on the clock. Some ranges discourage them because of rumored blow ups of the mag tube. I haven't found any first-hand accounts, but it's possible. They require flat nosed bullets for sure and should be loaded carefully. If you have a hankering for a Henry, find a Henry shooter and pick his brain. All Henry reproductions are made by Uberti. Quality does vary by importer. Cimarron claims to have the highest standards among Uberti importers, and I have found nothing to dispute this. But Uberti, the manufacturer, is not immune to quality control problems no matter what the brand. The Cimarrons will have all of the original proof marks and the like. Original Henrys were all rifles, no carbines. But you can get various models which never existed until now.
Henrys and 1866 Winchesters should be shot only with light SASS loads no matter what the caliber. Rumor has it the military version is stronger because North-South Skirmish Association rules require hotter loads than SASS. Whether this is true or not, it has sling swivels, making it the one to get. A sling to a rifle is like a holster to a pistol. While it might be historically accurate, since there's no handguard, firing a lot of rounds, especially with black powder, will make the barrel very hot. (Cimarron Henry shown)
The 1866 Winchester reproduction (or "Improved Henry" as it was known until the Winchester '73 came out) is historically accurate and cured the problems of the Henry. They're also available in .38 special. Most rifles are .357 Magnum and need magnum length cartridges for reliability. With an 1866 Winchester reproduction you can shoot the same .38 Special load in both rifle and pistol. The above is a Cimarron in the beautiful and historically accurate charcoal blue. When you see it in the flesh, you'll know why they call it bluing when current guns are all black.
The 1873 Winchester reproductions historically accurate and seems reliable of the samples I've watched. Lefty Longridge used one to a World Championship. The removable side plate of the 1873 cured a problem of the 1866. If it is jammed, say with a .45 Colt round stuck inside your .44-40 Winchester, you can remove the side plate to clear it as Texas Ranger George Lloyd did in a fight with Apaches in 1879. (Now that I've disassembled a '73, I wonder how in the world he did that!) He did it under fire. You won't have to. It is also easy to clean and thus favored by a lot of black powder shooters. (Carbine shown. Also available in short rifle, rifle, and sporting rifle configurations).
The 1892 Winchester reproduction is available in clones from Navy Arms and Cimmaron. Ones which have been gunsmithed seem to be great guns. Out of the box samples often are quite finicky and trouble prone. Expect to spend money on a gunsmith. When you find several gunsmiths specializing in smoothing the actions of a particular brand of gun, odds are that gun is rough out of the box. '92 shooters who have 'smithed versions rave about the smoothness and reliability of their '92s. Several name shooters have used them to great success.
The 1894 Winchester generally should be avoided. The action was designed for longer cartridges than pistol caliber, and I've yet to see a reliable example. (E-mails aren't necessary if you have one. There's probably a reliable Jaguar out there somewhere, too.) If you have one and are financially stretched, obviously you'll need to use it and learn how to defeat its idiosyncrasies and live within its limitations. I'm told that it is so complex inside that only gunsmiths should detail strip it. The '94 Marlin and '73 Winchester are not that complicated. The Marlin is the simplest of the two.
The 1894 Marlin is hated by the historians, loved by the competitors. Most of the ones you see at matches were not gunsmithed but worked out of the box. There is some smoothing which can be done, and the mainspring can be replaced by a lighter spring, but if you keep the screws tight, it'll work stock.
Mine needed a gunsmith for drilling the extra hole for the Marble's Tang Peep Sight. Don't try to drill it yourself. The receiver is HARD. I replaced the stock mainspring with a Bunkhouse spring kit and got light primer hits. I added small washers as spacers and added washers until the light primer hits went away. The lighter spring lightened the trigger pull as well as the cocking effort. The action, smoothed by 20,000 rounds, is very light and smooth. The Marlin needs a lot of cleaning if you're shooting Black Powder. The crossbolt safety bugs some people**, but it has a set screw which can be tightened so it will stay in the "fire" position. You could also get a small C Clip at a hardware store and C Clip it in the "fire" position. DISCLAIMER: If you're using your Marlin 1894 Cowboy for anything else but CAS, don't replace or deactivate the safety. A cross bolt safety is superfluous for Cowboy Action Shooting because of strict rules concerning loading, unloading, and gunhandling.
Women shooters: The Marlin is pretty lightweight, and a lot of women shoot them. May 2003 Update: Now Marlin makes the .38 Special Cowboy Competition with 20" barrel. This is a lighter, easier to handle rifle. It's also available in .45 Colt, but if you're beginning, get the .38. Importantly it's .38 special only, not .357/.38. This is important as the .357 models should be fed with .357 length cartridges, or you'll have malfunctions. The .38 CBC isn't just recommended for women, but for most shooters. Do note it might still need gunsmithing.
Caliber for the rifle should be the same as for your pistols as soon as you can afford it. I've seen .45 Colts stuck in .44-40s. Fortunately no one was shooting at the shooter, but his stage was ruined. I've also seen .44-40s which had been stuffed in .45 Colt chambers.
Barrel length? Again, a personal thing. I think 19-20" is perfect, but as the eyes get older the longer barrels work better. The Marlin was only available in 24" when I got mine, and I've left it stock. If you start with a .38 or .45 Colt, you can get the Competition version if you want 20". 24" has its advantages for those of us with presbyopia. I've seen 30" barrels work. 16" barrels are too short. 19" carbines are the practical minimum. Your rifle should hold 10 rounds in the magazine. More isn't necessary (nor desirable in The People's Democratic Republic of California. One of the reasons I purchased a '73 Winchester Saddle Ring Carbine is I could take it to future End of Trails without worrying about being arrested for violating their idiotic gun laws--since corrected. The other reason is I wanted it because that was the weapon of 1880s Texas Rangers).
The various rifles come with period correct sights. Some have small notched flat rear sights. Some have semi-buckhorn. Marble makes replacements for most with flat, semi-buckhorn, or full buckhorn, as well as small flip-up sights which go in the dovetail for the stock sights. These are available in various heights and with flat or semi-buckhorn shapes. Marble Arms. Marbles no longer sells them direct, but Brownells does.
The Marlin Cowboy comes with a white diamond rear sight. This violates SASS rules. So when you get your Marlin Cowboy, turn the sight insert around or black it with flat black paint/magic marker/laundry marker, etc. As a Gunsite graduate (3 times), I learned about the "Ghost Ring" and its advantages for speed shooting. Therefore I had mounted a Marble Arms Tang Peep Sight on both rifles. With the insert removed, it's a near perfect ghost ring. I keep a flip up sight in the original dovetail just for checking to make sure the Marble hasn't gotten out of adjustment. It's fast and accurate. May 2003 update. After a disaster at Winter Range when the rear sight broke and the flip up sight was inadequate, I've taken it out and installed a Marble's flat top rear sight (Brownell's 579-066-001 #66 Dovetail Flat top rear, long shank ). I keep it 2 notches low so it's basically out of the way. But if I break the tang sight again I'll raise it 2 notches and use it (and I keep a spare tang sight in my kit now.)
Recommendations: Marlin 1894 Cowboy II in .357 magnum or one of the new Competition models in .38 as your first gun (latter preferred but more expensive). They need very little in the way of maintenance and last like iron. They need three things in addition to occasional cleaning: 1. Keep the screws tight. 2. Keep the screws tight. 3. Keep the screws tight.
And now a few words about shotguns.