There are lots of great places in the Colorado Rockies. See my comments on boondocking near Wolf Creek Pass in this recent post:
We also stayed at the KOA in Durango, which had a new swimming pool. They had lots of activities for families and kids, including evening movies and a wagon ride around the campground that doubled as a shuttle bus. Durango, Silverton and Ouray have lots of things to do:
Check out the Durango/Silverton Railway, the Old 100 Gold Mine Tour and white water rafting. Also, excellent fishing in the summer, and skiing at Purgatory in the winter. It's a college town, so lots of neat little shops and restaurants in the old downtown area. And, it's cool there!