I agree that weather delays are far less of a problem at DEN than they would be at ORD. And, I would think that, in the event of inclement weather, it'd be more likely that your outbound from DEN would be delayed, not your inbound, giving you more time to make your connection.

If you can confirm that your departure and arrival gates at DEN are both in the B concourse, I'd say go for it! I mean, flying with friends is nicer than flying alone and you've got that back-up DEN-LGA non-stop should things go awry. And, in this scenario, the worst that can happen is that you avoid flying through ORD, something I routinely try to do (I'll arrive and depart, though).

As far as bags go, I've missed tight connections that my checked bags have actually made. Still puzzled as to how that can happen, but it has happened to me. I'm not suggesting that you try it, but I just wanted to point out that you're not guaranteed to get screwed on that.