If you are a good driver, and have a set of 4 decent snow tires, you will just barely be able to get by during snowy Colorado winters. It is entirely possible to drive a RWD sports car in the winter, it is just a real pain in the butt, and not really practical.
I would suggest a FWD car, or even better yet, and AWD car.
Even if you choose FWD I would still suggest investing in a set of 4 nice quality snow tires. I live in Maine and drive an 05 Accord EX V6 coupe. The 1st winter I had it I used regular all-season tires, and got by just fine, but still got stuck a few times, and in bad storms slide around a little bit on the roads... The following winter I bought 4 Nokian Hakkapalita snow tires, and the difference was night and day!! Starting from a standstill was much better, the grip while driving was much improved, and the best improvement was braking during a storm.
So, I would recommend against a RWD vehicle, because even though you could manage, it will be a big hassle. FWD is better, and AWD is the best option.
Here is a list of AWD vehicles that have decent performance:
Subaru Impreza 2.5RS (98-01 is my favorite, used to own one and loved it!)
Subaru WRX
Mitsubishi Eclipse GSX/ Eagle Talon TSi
depending on your price range, here are a little more expensive AWD options:
Mazda Mazdaspeed6
VW R32
any BMW with the letter X in it
Subaru WRX STi
Mitsubishi Lancer Evolution
Lexus IS250 AWD