I moved to Sheridan eight years ago from Amarillo, Texas. Its quite a change, but I like it here. Small towns can be good or bad; I think it depends more on the individual.
I like eating out probably more than most, I guess because I live alone. Anyway, there are some really good restaurants here, some are pricey, but I would say most are moderately priced. Los Agaves for Mexican food is really good, Dragon Wall is one of the best Chinese restaurants I have eaten at. The Empire Grill downtown is always good, but they can be rather slow. The Rib and Chop House in the historic Sheridan Inn is great for steaks, seafood, ribs and such. And the Inn is worth seeing. It is said to be haunted. Buffalo Bill Cody used to stay there.
If you like to hang out at coffee shops, the Java Moon is a really cool place. There are many wonderful specialty shops in Sheridan’s beautiful downtown. It is fun just to walk down Main Street and window shop.
Sheridan has a world famous rodeo each year, and Crow Fair on the Crow Reservation is the world’s largest powwow, every August. The Bradford Brinton at Big Horn, and the Ucross Foundation are two of the best art galleries around. The Trails End is the mansion of former Wyoming Governor John B. Kendrick, and it is a historic monument, really worth seeing.
If you like the outdoors, there is hardly a better place to visit or to live. Fishing, hiking, skiing, cycling, horseback riding, handgliding, camping, or just driving through the mountains is worth the trip. The Bighorn Mountains are just west of Sheridan. Just north of Sheridan are the Wolf Mountains, though they are really more like tall hills, they are still very scenic.
There is lots and lots of history around Sheridan. The Little Bighorn (Custer Battlefield) is an hour drive north. There is Ft. Phil Kearny just south of Sheridan, about 20 miles. There are other battlefields all around, like the Rosebud, Fetterman, Wagon Box, Sibley, Sawyer Expedition, Conner (this was really a massacre of an Indian village), Crazy Woman, Tongue River, and there were many intertribal wars right here between the Crows, and the Sioux and Cheyenne.) The Crow and Cheyenne reservations are just across the border in Montana.
Well, that should get you started. Have fun!