Take note, though: the site appears to have trouble with browsers other than Internet Explorer, and its Google-powered site search doesn't seem to work, so be forewarned!
The Colorado Historical Records Database holds close to a million records of almost every imaginable sort. This is a pointer system, and will show a summary record of available information (such as name, county, date) but to see a full copy of the record, you have to order it directly from the Archives.
The list of Indexed Records is varied and intriguing, and includes:
The Colorado Archives Family History Page is an index to either half a million or many millions of records, depending on which of their descriptions you choose to believe. Again, it is an index (pointer system) to records that are available for purchase from the Archives. It seems to be a subset of the broader Historical Records index, but it's hard to be sure.
The online collection of Digital Records for Colorado is very slim pickens' indeed, with only a handful of images in each of the following categories:
How Colorado can manage only a single (and singularly unimpressive) image for Parks and Recreation is a real mystery.
Occassionally, though, the links will lead to a slightly more robust collection, like the Photographs from the Mining Collection or the Colorado Casualties from World War II. There's no way to know for sure what's there, other than to just browse around.
Lastly, there's a good online collection of Colorado Historical Newspapers, 1859-1923...well worth a look.
Update: Rocky Mountain Online Archive is a detailed pointer system to hundreds of archives (some online, most not) in the three-state area of Colorado, New Mexico and Wyoming.
More historical archives and research materials can be found at these excellent resources:
Historical Newspaper Archives Ancestry.com
Genealogy Tools US Historical Newspapers
European Historical Newspapers International Historical Newspapers