Estes Park, the eastern gateway to Rocky Mountain National Park, is best enjoyed in the off season. The crowds have cleared out and it is easier to avoid the tchotchke shops.
Though the biggest draw of Estes Park is the town's natural surroundings and adventure sports, it is still worth stopping in town after a day of snowshoeing, sledding, or cross country skiing. Walk around the small town, get a hot chocolate, a beer, or some good barbecue.
Stephen King wrote The Shining at the century old Stanley Hotel. You can usually find people in the lobby, ballroom (rumored to be the most haunted room in the hotel), and hallways snapping pictures, hoping to get a shot of a ghost. Winter is a better time to tour the old hotel sans the fanny-packed crowds. The Stanley Hotel offers a Ghosts & History Tour (call 970-577-4110 for schedules). The hotel featured in the movie, by the way, is the Timberline Lodge in Oregon.
There is even a winery in Estes Park selling Colorado made wine. Valley of the Wind Winery offers tastings of its wine (riesling, chardonnay, and pear wine, among others). On a warmer day, take your wine out to the riverside deck to admire the views of the Rockies before heading home.