Glenwood hot springs is lovely. Amtrak runs a daily service each way and it can be fairly reasonable if you book in advance. Hotel Denver is recommended. I'm pretty sure the train stops in Grand Junction for Colorado wineries and Colorado National Monument, which is REALLY cool and unlike anything you're likely to see in Chicago. My girlfriend and I did a horseback ride for half a day which was a lot of fun.

Manitou Springs (Near Colorado Springs) is also lovely...Lots of funky little shops and, of course, the Pikes Peak railway is fun. The Cliff House is recommended for lodging. The Broadmoor in Colorado Springs is also a lot of fun. I've only stayed in the Fall, but the thing about Colorado is you can get 60 degree days in the middle of winter, or it could be 10 below.

I may have missed it, but how much time do you have? What time of year would you be going? What do you like to do? What is your budget?