If the saddle fits the horse well, you should only need something for the absorption of sweat (which will otherwise ruin the underside of your saddle, esp. if it is a proper western saddle with fleece under there).
I'm more of an English riding person myself (hunters, eventing, classical dressage, lots of trail riding and hunter paces) but have done a decent amount of western riding and would far rather have a good wool saddle blanket, any day of the week, than one of these poofy fiberfil-or-foam-stuffed pad things. Better for the horse's skin and back. Cotton or poly blend saddle blankets, or the ones with a lining of fake fleece against the horse, are more or less ok too, to me, but not as good as a simple, thick, real wool blanket. (n.b. it helps if it's someone *else's* responsibility to clean the saddle blanket, though <vbg>)
If you are using an expensive, or hard to clean, "fancy" blanket for show, it is common to put a thinner liner underneath so the dirt and sweat go onto *that* rather than the $150 item. I don't like real thin cheap blankets for anything other than that, though, b/c they tend to shift and wrinkle under the saddle and you may not necessarily find out about it til either a) the horse gets fed up with the discomfort and tosses ya, or b) you discover a saddle sore in the making.
JMO,
Pat