I may get in trouble for revealing this little secret about Colorado, but here goes.
Colorado has two types of licences; ones you draw for and ones you buy over the counter. While one can certainly do well if you buy an over the counter license, there are definite advantages to a license you draw.
An over the counter license will put you into an area with every other hunter who bought the same tag. Usually you will end up competing against other hunters more than against the game. The best way to make it a good hunt is to get away from everyone by going farther in - something most folks cant do without horses unless you are in great shape and willing to rough it.
Licenses you draw will usually put you into an area that has a limited number of hunters or tags. This gives you a higher quality hunt, is safer in my opinion, and usually gives you a chance at a better animal.
Drawings for licenses are typically done on a straight preference point system. If you are unsuccessful in applying for a tag, you get a preference point and you are that much farther ahead when you apply the next year. A person with 2 preference points appying for a tag will get it before someone with 1 preference point.
What this means is that if you EVER intend to hunt Colorado, you would be well advised to start working on preference points. You can only get one per species per year, so time can work for or against you. Bookmark http://wildlife.state.co.us
and you can request applications around February / March. There is an option to apply for a preference point on most animals. The only down side is that it costs 3 dollars (non-refundable) to apply and you have to float the cost of the license until they refund your money.
You can still buy an over the counter tag if you do not draw a license.
Every preference point you accumulate will open up more possibilities for a nice hunt. The only areas non-residents cannot apply for are the Ranching for Wildlife areas.
Darryl's comments are right on about hunting Colorado. There is a lot of public land and there are a lot of animals. I have not killed an elk, deer or antelope on private land since I filled a doe tag on my parents place 15 years ago.
Look at the big game applications and see what areas have over the counter tags (most of the western part of the state). Get one of the new Gazeteer (sp?) maps of the state that show all of the public land and is color coded for BLM and National Forest. Head out, get your tag and hunt.
This information is free, but please leave your ATV at home!
Certain parts of Colorado used to be part of Texas. It used to be that most of Texas would come up to Colorado in an attempt to reacquire it. Those folks who came up and acted like they owned the place caused a little bit of animosity. Since then, the Kalifornians have snuck in through the back door (as they are prone to do) and are trying to convert most of Colorado into something like Orange County. Texans have been deemed much less harmful than Californians and are therefore tolerated... and welcome. The general consensus is come on up, hunt, fish and go home.
Personally I would trade all those who threaten the Colorado lifestyle for all the sportsmen who come to Colorado and appreciate it for what it is.
Let me know if you have any questions. Will be away visiting relatives and hunting Ducks, Geese, Pheasants, Coyotes for the long weekend. Will try to get in on a desert sheep hunt too if the guy has not filled yet.