Congrats on the move! I made the same move last summer. My general observations on prices:
1. Most transplants end up paying about the same for housing, but getting a much nicer place. This is probably deeply rooted in our natural anchoring bias. I did the same.
2. You save roughly 5% of salary on taxes. This is very nice, but not particularly life changing. What I notice more is the improved level of government services in Denver compared to the Bay Area. The parks are nicer, city services are MUCH better, roads are better, etc. Even trash pickup is included in your taxes within Denver. Sales tax is about the same.
3. Check out the city-run rec centers. Some are equivalent to high-end Bay Area gyms, but they cost ~$200/ year instead of ~$150/month. Also be sure to get your library card. You get discounts and free access to a surprising number of things with your library card.
4. Prices for most other things are pretty comparable to Bay Area prices, with some notable exceptions. Gas is cheaper, as is fresh produce and dairy.