Penny Dreadfuls was the name given to British publications in the 19th century that were fiction short stories. They were often serials that were published weekly and cost (guess how much?) a penny.
The name came to refer to a whole variety of cheap, sensational, fictitious stories. These storybooks were great fun for many at a time when books were mostly available only to people who had lots of money. But the working class folks were very creative & would often share these flimsy booklets with their friends. In fact, the more enterprising ones would collect an entire series and then rent them to their friends!
Many British journalists came to America to write about the stories of our cowboys and indians, and the "wild west". So, using their familiar format, a lot of these short stories were written about the people and happenings in the frontier. Buffalo Bill and Deadwood Dick were popular with Penny Dreadful readers.
One particular publisher, Erasmus Beadle, pretty much monopolized this type of literature which later became known as "Dime Novels" (price increase!). But other writers got into the business, too. Some wrote about cattlemen and the lives of ranch cowboys, but an adventurer named Prentiss Ingraham had fought alongside Buffalo Bill Cody (and others) and he wrote lots of action-packed dime novels about Indian fighting and other cowboy adventures. They say he could turn out a new novel every other day. He really had a lot of stories!
By 1937 most of the penny to dime novel publishers had folded. But this early style of telling stories about the American frontier, which was very popular, eventually led to these stories being brought to radio, television, and movies.