Re: Montana... what about the rest of the state?
About Colorado: Just to add to Bret and Larry's posts, anything west of Denver has a wide variety of fly fishing opportunities. I would generally classify some of the more famous waters as "technical" in nature, especially compared to Montana rivers. Many fish more like spring creeks because of water clarity, relatively low flows, and high pressure. However, with a little effort ant local knowledge, you can find just about any type of fishing you are after. The Taylor river has some of the biggest fish I have ever seen, but they are also some of the most difficult fish to catch. The Frying Pan is slightly less technical but still holds big fish. The Roaring Fork, Colorado, and Eagle are all bigger, more western feeling rivers with plenty of fish per mile. The Arkansas is a gem with lots of wild browns (some bigger than advertised). The South Platte has big, smart fish and a variety of types of water. Then there is the Cache La Poudre, the Blue, the North Platte headwaters, the Yampa tailwater, and about a thousand small streams that all have fish.
But they are not well kept secrets and all are very accessible, so....
it is generally combat fishing during peak times and on weekends.
The nice thing is, you can stay in certain towns (Glenwood Springs, Silverthorne, Salida) and be within an hour of two or three of the major rivers.