Hey, welcome to Denver, but where specifically? It's a big town.
I haven't gamed much outside the house but I know the following have
40K gaming in the North Metro Area...generally sometime between Thur and Sat. You'll have to inquire for specific times:
Total Escape Games, 120th Ave in Broomfield. Some gaming groups have moved here from Valhalla's. The store is the home of a recent Adepticon team (friends of mine) and they are around most Fridays for sure. This is my store of choice now but its close to full retail pricing.
http://totalescapegames.com/
Hobby Town on N. Wadsworth in Westminster. They actually have a growing gaming club complete with a fairly active forum. The guy who runs the wargaming section is very informative and helpful. He also heads the gaming. I'm at work but I can get you the forum link later. I rate this as my #2 store because its primarly
RC focused. They do have the best prices for
GW products though.
Karliquin's Game Knight in Boulder. They've moved into a larger shop and you can actually breathe when you walk around. They do have tables and game nights but I've never been since I live in Thornton and only work in Boulder. They have fairly decent selection of products but are full retail. More of an
RPG haven I think.
http://karliquin.com/
Hope that helps.
There's also Attactix in Aurora but I don't venture to the east side much...I do know several award winning (Goldern Daemon types) hang out there to paint on weekends sometimes. A good friend from the Springs goes up there to get input on his Gamesday entries on occassion. I've heard they're a bit snobby though.
Valhalla's used to be THE place but due to management and stocking issues a lot of the hard core gamers I know have abandoned it. The few times I played there I found it to be either too hot or too cold (temp wise) and very dark. The lighting is so high off the boards its hard to see sometimes. A shame, it had potential. Also located in an "iffy" neighborhood after dark.