I'm quietly chuffed with myself at being the first person to unlock this GOW2 easter egg . Gears of War is one of my favorite games and working out the cowboy hat easter egg is kinda cool!.
http://uk.youtube.com/watch?v=Z2Y9ILvI0WM
There's more details about it in the video description but basically you shoot three hidden hats on insane mode and your whole crew (and some of the enemies) get cowboy hats to wear . One of the lead level designers from Gears2 started up a thread over on the Epic forums hinting that there was an undiscovered easter egg still to be found. Clearly I have too much time on my hands .

thats fckin awesome! any achievement unlocked initially from doing this?

Lol, no achievements or secret unlockables sadly but if you continue playing through the level you get to see a corpser wearing a giant cowboy hat and yelling "Yeehaw!" in a deranged monster voice .

congratz