Most of the characters (Seth Bullock, Al Swearengen, Sol Star, Reverend Smith, the Metz family, et cetera, in addition to the more famous Wild Bill Hickock, Calamity Jane, and Jack McCall), have real-life counterparts.
Robin Weigert, who had been primarily a theater actress before landing the series, rented a professional cowgirl outfit she couldn't afford for her final audition in Los Angeles, to make her feel more like Calamity Jane. After walking across the Avenue of the Stars in Los Angeles in full cowgirl regalia, she impressed the executives and won the part. She flew back to New York on the same flight as David Milch, who requested to change seats so he could sit next to her and tell her stories.
Richardson (Ralph Richeson), E.B. Farnum's simple-minded cook, was originally just an extra, but David Milch saw potential for him as a character and he became a fan favorite.
Powers Boothe was originally cast as Al Swearengen. But Boothe fell ill before the pilot was to start filming. Boothe was replaced by Ian McShane, and then was given the supporting role of Cy Tolliver.
Wild Bill Hickok was portrayed as an older man in the series, when in fact he was only thirty-nine years of age when he died.