It depends on the training you're looking for.
If you just want to get your CCW permit, its not a big deal... go to the closest one.
If you want to learn how to fight with a firearm, you'll need to travel (worth it for these guys). SI is the hands down best school out there, and they teach courses in a few different places, but none in CO (look at the course descriptions... mainly Force on Force and 0-5, and the pistol and rifle courses... for details on em).