I grew up in Colorado and I live in Wyoming now. The winters are long and freezing in Colorado (snow on the ground for 4-5 months straight with 2-3 more months of melting snowfall), but there are enough people and social things going on that it's doable. Wouldn't recommend it for someone not used to interior continental winters, but you can work your way up to it.
Wyoming is completely different. It's a bit colder, a lot windier, and the winters are longer, but it's mostly the lack of human interaction that gets you. I'm a reasonably sociable guy and thought I would be fine living away from people for a while, but this last winter I would only see people once or maybe twice a week, and even more rarely talk to them. Mostly I was just staying inside and shitposting and trying not to think too much about suicide.
The Western U.S. is beautiful in the summer though. If you're thinking about visiting I would recommend summer for all those states you listed as you'll never run out of things to see and do outdoors.
Pic related from Rocky Mountain National Park in October a few years ago. Even better in the summer in my opinion.