Ditto on what Allie said!
You can easily get dehydrated in Colorado, due to the dry climate, and high altitude. Year round, at least a litre or two of water is necessary to prevent dehydration.
Depending on the tolerance, no mater what the PFT's say, high altitude will cause problems for anyone not used to it! And, it takes about two months to adjust.
I was able to adjust quick, but it was as long as I wasn't doing any serious lifting, or running. I did do a 200yd. dash on one of my visits there, and suffered from shortness of breath for a brief while (Forgot I was at such a high altitude).
Taking food along would definitely be a good idea, so would the idea of taking sports drinks along.
Other than the recommendation of not over-doing it, taking a break when the body tells so, I can't think of much else to add.