Now I know the rest of the story

In the frontier days of American history, stagecoaches were used to transport valuables and well-to-do people. These types of cargo were hot targets for the robbers and other nefarious people who roamed the lawless parts of this country. So to protect the stagecoach and its contents, a shotgun toting guard would sit next to the driver. These days, not many automobile passengers carry big guns, but nearly 100 years after the stagecoach, people still cry "shotgun" when they want to sit in the seat next to the driver.