Hmm, okay, thanks for the comments.
I did learn over the weekend that hidden cities would work only if I have bought the tix from a travel agent, since most (if not all) have access to cancelling any segment of the trip. Try this on UA and they could get themselves fired
I chose to stick with the SFO-DEN-COS since (I also learned that..) the weekend car rental in COS is $30 cheaper than DEN, for the same class of car and same amount of days. Wonderful eh?