I don't know of many in Denver unfortunately, I rarely go there, not really a big city guy.
Though, there was a decent shop next door to the Ogden Theatre on Colfax, I went in there when Opeth was in town and Akerfeldt was in there looking at albums too. They were playing Orchid in the background and had a fair collection, though it wasn't a pure metal store. Don't remember the name, but if you look up that Theatre, it'll be easy to find.
If you head down to Colorado Springs, there is a nice little store called Mosh Pit Music on N. Circle Drive (948 I think) that has some really good stuff + shirts, posters/banners/stickers. Their prices are usually around 14 per cd or so, but you can find a few gems, some rare things or cheap cds, think I got Zirnindu-Sa for like $9. 'Tis the home of Pit Magazine. In Pueblo, there is a store called Pueblo Records and Tapes that has a great used section, could probably find some treats in there, they have contests on occasion too, I won about 4 free cds there.
I'm not sure what your plans are though, but let me know if you find some good places in Denver so I can stop there, I'll probably be headed up around May. That store in Springs is pretty awesome if you get a chance to check it out. I rarely venture past Pueblo though, Springs is the max.