The etymology of West can be traced back to the Old High German word westar, and perhaps to the Latin word vesper, meaning "evening", possibly derived from the GreekHesperos''.
The ancient Aztecs believed that the West was the realm of the great goddess, of water and mist, and of maize.Campbell, Joseph. The Mythic Image. Princeton University Press, 1981.
Moving West in American literature, especially The Great Gatsby, symbolizes gaining freedom. This probably has to do with the colonization of the country and Manifest Destiny.