Did you not get the notice sent to TX from CO? We are full, please visit NM instead.
Seriously though, if you intend visiting CO anytime from Sept to May there is a chance you will encounter snow or ice, especially in the high country. So 4x4 would be good. Please remember though it does not help stopping any quicker, nor does it impart magical suspension qualities to your truck. We see an awful lot of 4x4's with TX plates upside down in the snow, usually on the first pass or two out of Denver.
I have driven a dually RWD all over CO in bad weather, you do need to be prepared with snow tires and chains though, even if you are carrying a nice load over the rear wheels. It is much easier to hop out and lock in the front hubs.
My 99 F350 4x4 averages 9-11mpg when towing a 9000lb enclosed trailer at 70mph. My buddy with a gasser gets about 6-8mpg with a similar load.
Matt, I'd much prefer a dually for a 3 car hauler (I'm assuming gooseneck not bumper), but if you can load the trailer properly and keep the tongue weight within limits there should not be a problem. Of course if you are carrying 3 built Jeeps rather than daily drivers, I'd definitley recommend a dually - but I have seen a SRW hauling those loads. I think it puts you at risk if you have a blow out on the rear though.