My husband and I lived in Denver for 4 years before moving to San Francisco 6 years ago. Here are the immediate differences, as I see it:
1. Colorado is certainly more of a driving city. You can make do in SF without a car (which I prefer), but CO is more spread out. I found driving in Denver, being originally from Florida, to be a traumatizing experience without 4-wheel drive. If you don't mind driving and have the right car though, that should be a non-issue.
2. The obvious cost-of-living issue. Moving from Denver to SF, our rent exactly doubled (but so did our salaries). The biggest issue with cost of living though is whether or not you plan to eventually buy. We've been trying to purchase a single-family home in the Bay area for four years. If we were in Colorado, we would have been able to make that happen by now.
3. As far as things to do for a young couple without kids like yourselves, both offer similar entertainment: plenty of sports teams, concerts, and outdoor activities. SF absolutely has a leg up on CO when it comes to food/restaurants though.
4. The last comparison I'll make is the weather. SF is a temperate climate, meaning it's pretty constant year round. As someone else here mentioned, the city does have lots of micro climates, so do your research and find which neighborhood's weather suits you since you'll be dealing with it all year. Denver/CO has four distinct seasons, and despite it's rep for cold weather and snow, it's definitely not the northeast (meaning you won't have 5 months of hardcore snowy winters). Really, the weather in both locations is good, its just a matter of personal preference.
Hope this helps!