E.B.
I'd avoid the amusement and water parks, as they're pretty standard no matter what city you're in.
Instead, see the amazing things that are unique. Go to Red Rocks Ampitheater and let your kids climb the steps and enjoy the views. Ride the Cog Railway to the top of Pikes Peak Mountain and eat the fresh doughnuts at the summit house at the top (bring sweaters or sweatshirts - it's almost always cold or chilly at 14,000 feet!). The Cheyenne Mountain Zoo in Colorado Springs is worth seeing, and so is the Garden of the Gods (also Colorado Springs). The Royal Gorge is breathtaking. At the base of Pikes Peak there's a trout fishing place where you don't need a license and the helpful staff will help you out with equipment, filleting, etc.
For cheesy fun and a real fun experience that every Denver kid has been to (not for the food certainly, but for the fun) is Casa Bonita in Denver. It's a Mexican restaurant with ok food and excellent sopapillas, but it has an indoor waterfall and deep pool designed to look very natural (not like a swimming pool) and indoor professional cliff divers who put on a fun show, involving diving, running through the crowds, etc. There are old time photo booths and games to play.
Another great place to eat is The Fort in Morrison. Delicious bison meat, and real old west food in a beautiful atmosphere.
If you go to www.foodnetwork.com, up at the top you'll see "Restaurants" (to the right of the logo, after "shows", "chefs", and "recipes". Click on Restaurants, type in the city you will be in, and there you'll see what restaurants in that city have been featured on Food Network and why. That might help you find some places that your family would like.
Sorry, can't help you with Santa Fe.