In Cody is the Buffalo Bill Museum. Plenty of stuff from his Wild West Show. There are three wings. One devoted to Buffalo Bill. One of the Plains Indians and the Firearms Collection that was originally the Winchester Collection. There is even one of the air guns that was used on the Lewis & Clark Expedition.
The park itself is very quirky. You don't go an "Do" Yellowstone you have to experience it. I have been there 5 times and still haven't managed to find the time to drive out the road ot the northeast entrance. You can easily spend several hours in the Norris and Porcelain Geyser Basins area.
Get UV or haze filters for all you lenses. The minerals in the steam coming from all the thermal features will destroy lens coatings.
If you approach the park from the south from Jackson Hole, there is a roadside pullout right where Ansel Adams took his famous photo of the Grand Tetons with the Snake River in the foreground. Here is my take on it when I drove by in 2013: