Born and raised in Colorado, and after 27 years here I can tell you that question depends entirely on
a) how good of a driver you are, and how comfortable you are with your car, and it's ability in the snow
and b) Where in CO you're moving.
If you're a fairly confident driver (and rightly so) and are moving to the front range, I wouldn't worry about it. We don't get nearly as much snow on the front range as people think we do. Keep in mind it's sunny here 300+ days a year, so even the snow we get isn't typically on the road after a day or so.
Realistically there are only a few times a year that the roads are actually bad around here. I'm in process now of purchaing a FWD TDi, after owning 4X4's for the last 10 years. As Elsinore said, I think the tires make the difference.