Thrillseekers is the closest to downtown, I think, at 1912 S Broadway. There are the two Rock'n & Jam'ns, in Thornton and Centennial. I prefer the R&Js to Thrillseekers, they are both larger facilities. There's a new Earth Treks gym which just opened in Golden. I haven't been there yet, but I've heard good things about it.
i like denver bouldering club. It is the closest to downtown close to 6ave and I25. its bouldering only but has big enough walls to get your pump on. it is the cheapest day pass by at least five bucks and has all the training gear you need. They also have a 24 hour access if you choose but i find the punch pass to be the best bang for my buck.
+1 on the dbc. So far I've found that it's the best training facility in the Denver area IMO. You can ride your bike there from the downtown area, it's relatively inexpensive, they set some great routes, they offer 24 hr access as an option, and they have a bachar ladder, campus board, systems wall, tread wall, trx rings, etc. etc.
I'm with Kevin and Mr. Zucco. All of the setters at DBC are great. Even their easy problems are thoughtful. I was a R n J rat but their route setting isn't what it used to be. About half of the routes and problems have become extremely height/ape index dependent. Really bummed me out the last time I was there. Have yet to get out to earth treks and see what all the hub bub is about.