Start at the beginning of Act 1 Chapter 3 "Rolling Thunder" on Insane difficulty. At the start, before the cutscene, there are 3 cowboy hats in the area. Take out your pistol and shoot them. Remember to press BACK to skip the dialog.

Assuming you are facing the direction the rig will be moving, the first is on the side of the building behind and to the right of the rig.
The second is between the front wheel and back wheel of a tank sitting to the left of the rig.
The third is behind the second large gas tank next to the tank with the previous cowboy hat.

Shooting all 3 will give you the following effects:
All characters on the rig will immediately equip cowboy hats.
In the next chapter, if you fail kill the driver of the hijacked rig in time, when you see the cutscene of your rig falling into the ravine, you will see a cowboy hat floating down to earth.
If you succeed to kill the driver of the hijacked rig, he will be wearing a cowboy hat when he hangs out the window before the cutscene.
During the cutscene where the hijacked rig falls into the ravine, you will see a cowboy hat falling down to earth.
A corpser that emerges from the ground later in the chapter will be wearing a cowboy hat and scream "YEE HAW!"