I am in Denver also and a coal-burning newbie. I've been buying "lump coal" from Santa Fe Sand and Gravel in Littleton. http://www.santafesand.com/
. They sell it in 70 lb bags or by the ton. I have been getting the bags, which contain pretty large chunks of coal (6-8"). It has not been fun trying to split up the chunks - I've tried many methods from a Sledge Hammer to an axe and finally found the easiest way was to use my air hammer w/ chissel using my small air compressor.
Seems to be medium quality coal, although I really have nothing to compare it to. Took me a while to get the hang of starting it, but once it's burning well, you get some nice blue ladies dancing away.
Hope this helps, please let me know if you find another supplier in the Denver area!