Well there's lots of cool stuff in Colorado already like Dinosaur National Monument (all of the street signs are shaped like dinosaurs which is awesome), the sand dunes, and Molly Brown's house.
I can't think of much in the states you mentioned. You could visit the arch in St. Louis. Stay out of East St. Louis.
Chicago is pretty cool. Visit Millennium Park which was designed by Frank Ghery. Stand under the silver bean. Look at the old water tower (one of the few buildings to survive the Chicago fire) and the Chicago Tribune building. Check out some of the cool architecture. Ride the L to say you did it, personally I found the bus system to be a lot more convenient though. Tickets to the top of the John Hanrooster building are about $20 for a tour that lets you visit the observation deck once at night and once at day, if you don't buy the silly photos or stuff from the giftshop. You can get a deep dish pizza at Gino's, which was featured on Man vs. Food.
I'm sure there's someone here who lives in these places and and could tell you more.