I fished the Blue River and the Colorado River this winter during February, March, and the first week of April. On all occassions the water temperature was ~36 °F and the air temperatures ranged from the mid-20's to just above freezing. I had no problems connecting with many, many fish on any day. In all cases the flies were very small nymphs (~#22) fished on the bottom.
Here are photos from the most recent trip (photos from April 7, 2008):
The gentleman in both photos, BTW, is Billy Berger of Breckenridge Outfitters, Orvis Guide of the Year 2005 (IRC).