I moved to SW Colorado, near Durango in May after I retired from the military. I wouldn't suggest moving here. Rent is high, so I bought a house in a small mountain type community, saved me almost $500/month having a mortgage instead of rent. 
There are tourist here ALL the time and in the fall/winter you get the added bonus of college students. The fall also brings a ton of out of state hunters who drove around on their quads all day because they didn't train or account for the altitude. 
However, I'm ten minutes from 2 million acres of national forest and from 200,000 acres of Wildnerness. I've got two nice reservoirs within a short drive as well. I see elk almost every day, Mule deer in my yard daily along with Merrimam turkeys. I've seen the occasional bear and I always see moose when I take a trip to the Wildnerness. The fishing is pretty good here, and the river is close. Hell, I can fish in town at halftime during a broncos game. We have a brewery in town as well. Not bad for a place with 2500 people. 
Taxes suck, but it's a reality. It's better than Kansas, where I moved from. Lived in Washington prior to that and almost moved back until I found this place. 
I thought the hunting seasons here were odd until I got them figured out. Now I can probably hunt from August to January if I play my cards right. 
Arizona, New Mexico and Utah are within a few hours drive. Exceptional elk hunting. While I wait to draw a tag for one of those I'll learn for dirt cheap here in Colorado. 
I was given free licensing and registration plus a lifetime small game and fishing tag here in Colorado as well. 
I did two elk hunts in Montana and while it's nice, it's not for me. I grew up in Colorado so it was an easy choice to make.