New info
I know this thread is from the Dark Ages and all those who have had questions regarding local gaming outlets have found their answers, but, for those who now find themselves in that very same situation, here is a more complete and up to this date answer.
In my opinion Attactix is the best. That could be because I live close (was there last night) and they solve all my gaming needs. That said those in Wheatridge will disagree with me 100%. For them it is Valhalla's for sure.
Others include: CollectorsMania in Parker, It's Your Move in Boulder, Colpar Hobbies In Aurora (I believe they just opened another store, but I don't know where), Hobbytown Westminster, The Comic Store Westminster, Mizell Trains Westminster, Bob's World of Hobbies Littleton, Bonnie Brae Hobby Shop Denver and Boulder Hobbies in Boulder.
For those out of the Denver metro area there is also: Complete Games & Hobbies in Colorado Springs, The Silver Dragon in the Springs, Stonebridge in Longmont, Serpent World Games Grand Junction, Great West Games in Grand Junction, White River Trading CO in Meeker, Marshaks House of Fantasy in Ft. Collins, Digital Dungeon in Greeley, Ralph's Hobby Town in Sterling, Gamer's Gathering South, and North in Colorado Springs and Hobby Hut in Grand Junction.
And don't forget the conventions: Genghis Con in mid February and TactiCon during October. Also we have BenCon and MileHiCon.