While seemingly obvious, -you can unzip a bag that is too warm but it's hard to get a bag that isn't warm enough to provide more insulation.

I'm just back from a few days in Wyoming and while the first night was really cold/windy, the subsequent nights weren't as bad. I took a -20* bag and used it as intended the first night but as a blanket over the top of me during the following nights. When "Winter" hits in earnest, I take a -40* bag (Mountain Hardwear "Ghost") and have been very comfy down to -16* with the wind howling all night, outdoors. I'm a fan of erring on the side of being too warm, I can always unzip it a bit.

In terms of brands/models, compact+warmth generally isn't an easy equation to achieve if you are considering a true Colorado Winter situation - plan for the coldest it could possibly be. If you do buy a good down bag, treat it well, store it correctly, and it will last a long time. My 0* bag is 23 years old and in fantastic condition.