I just wrote the following:
The closer he got to Cactus Pointe, the more radio stations were lost. The remaining ones were mostly Spanish speaking stations. Those in English were Christian or country western.
It looks funny not to capitalize "country western," but after researching it I found out you don't.
I found a blog where someone asked a similar question (not country western but another music genre) and someone who is a journalist who writes about music said not to capitalize it.
And then I found a site with a PDF titled "Writing About Music: Style Guide" that says they follow the Chicago Manual of Style and wrote:
The word 'classical' carries different meanings depending on whether or not it is capitalized. 'Classical' denotes the Classical era, while 'classical music' is as synonym for 'art music' as opposed to popular or folk music.
Anyway, thought I'd pass along what I learned.