I'm in the Denver area, & man, you are in the right state! /u/volvata 's suggestion to ask around at the show for local club members is excellent; you'll find the most dedicated rockhounds (the ones who sometimes even do it for a little profit) there - and they usually love to talk about their hobby, too!
There are books published that give one locations where you can (usually) legally pick up rocks, like:
http://www.amazon.com/Colorado-Rockhounding-Minerals-Gemstones-Collecting/dp/0878422927
And you might be able to find used versions of that book, plus others.