A couple things I would recommend checking out are the Cheyenne Mountain Zoo, Garden of the Gods and Cave of the Winds. If you want to make the drive up to Denver then that opens up a ton of other awesome stuff you can do. Red Rocks is awesome, if you're into beer there's a microbrewery on every corner...lots of stuff to do. Enjoy your time out here!
Been here a couple days plan on going to Garden of the gods and cave of the winds soon. It's snowing right now so probably another day. Went ice skating yesterday for the first time it was a blast with the little ones.