Buffalo Bill's Wild West. Congress, Rough Riders of the World. The Peerless Lady wing - shot. Annie Oakley was discovered by Sitting Bull, who gave her the name, "Little Sure Shot". She was with "Buffalo Bill Wild West Show" during the nineties and was the sensation of America and Europe. She was the greatest woman rifle shot and was known throughout the world for her ability in breaking glass balls thrown into the air, with very few misses.