We went with the Matron of Honor and had a blast! The caves are divided for men and women, but there are private 'baths' available for couples - be mindful, this is a clothing optional cave and bath. There is also a clothing required pool that is fed by the hot springs, too, for all.
One of the things on our to-do list is visit the zoo. We love to take an adventure, and depending on the weather, we may be doing this the week of! If the cold is not something that bothers you, this may be a great option.
Going to be getting there before the wedding? Live near by? Love Erasure? They are having a show!! (and I expect pictures)
This area of Colorado has some amazing drinks, and treats to tickle your fancy - take some time to check out some of the local tours that they do. (I'm working on a list and will send out based on what you are looking for specifically)