I also live in Colorado.
While others will debate the AWD vs 4WD vs FWD vs RWD, you will notice, that with only 1 exception, MikeinNH, everyone has highly recommended you purchase winter tires for whatever car you choose.
I will also agree with that recommendation.
I have three cars in my family’s fleet to keep prepared for weather, a FWD PT Cruiser, a FWD Fiat 500 Abarth, and a RWD Mazda RX-8. All three cars have winter tires for when the bad weather shows up.
Here in Colorado, the conditions that we have lead to all sorts of adverse road conditions, in just about every location. Combined with the fact that a lot of our roads are not even remotely close to being perfectly smooth, winter tires help you get that extra bit of traction that all season tires will not have, when you run into those situations where black ice magically appears out of no where.
I don’t know where in Colorado you plan on calling home, but one particular road that I always use as an example is Highway 36 between Boulder and Denver. On this road, there are stretches of perfectly new pavement, mixed with badly tire rutted several mile long stretches.
If there’s snow on the sides of the road, like there sometimes is a day or three after the last snow fall, wind can blow that snow onto the road surface. After a little while, passing vehicles turn the snow into a section of skating rink, and you can see the Colorado Avalanche practicing on the side of the road when the surface quality is better than at the Pepsi Center.
I regularly see cars slide off the road on this stretch of highway every single time even a flurry of snow hits the road. And if you try to switch to Highway 93 or Highway 287 to get around 36, you will find out those roads aren’t any better, even though their pavement is much newer (93 was just paved this summer).
So, I can’t highly recommend true winter tires enough, no matter what car you pick up.
Oh, and I highly recommend the Mazda CX-5, too.