I have never heard of anyone owning a generator in Denver. I think this must be a difference in personality - I don't generally prepare for things that have never happened. If my power went out tomorrow, I wouldn't have heat.
I do plan to get solar panels next year and possibly an electric car at some point (their batteries can apparently provide some backup I. A pinch
As winter climates go, Denver CO isn't terribly challenging (IECC Zone 6). It's at or more mild than all of Canada (save coastal BC), northern New England and most of the Great Lakes region. As has been pointed out, there are millions of homes in this region which are electric only and have no non-electric source of backup heat. That doesn't mean that it's risk free, only that it can be done without consequence under most circumstances.
When considering how an all-electric system can fail, I find it helpful to list out backup options and what they can (and can't) protect against.
tl;dr - there's no perfect source of backup electricity and heat. The majority of electric-only homes go decades with little more than occasional power disruptions that get resolved before any real damage occurs (within a 48 hours), but there is a possibility (albeit slight) that you can loose power for several days during a particularly cold snap.
Gas HeatPros: Depending on size can heat entire house even in sub-zero conditions.
Cons: Typically still needs some electricity (blowers and control unit), albeit at low electrical load (i.e. coupled with a generator or battery backup). Requires redundant system ($$$) often with typical monthly hookup fee ($). Natural disasters which disrupt electrical service often also disrupt gas delivery (particularly earthquakes and fire). Does nothing for extreme summer heat waves.
Wood burning stove:Pros: Use only when needed, often cheapest form of heat
Cons: Risk to small children. Needs supply of wood, must be at home to work, risk of fire/CO - particularly if not maintained. Air pollution. Does nothing for extreme summer heat waves.
Pellet StovePros: Substantial heat. Lower storage requirements than corded firewood. Can be programed
Cons: Risk to small children. Needs power (or battery backup) to work. Does nothing for extreme summer heat waves.
Fireplace:
Pros: May be "pre-installed" in your home. Otherwise not many
Cons: Basically worse than a pellet stove or wood burning stove in every way. Risk to small children. Needs supply of wood, must be at home to work, risk of fire/CO - particularly if not maintained. Air pollution. Does nothing for extreme summer heat waves.
Propane/Kerosene space heater:
Pros: Very inexpensive
Cons: Serious fire and CO risks. Must be at home to use. Should never be left unattended. Probably your worst option for small children.
Propane hearth / "Rinnai"-style heater
Pros: Fairly cost effective
Cons; Vented versions require expensive piping and solid installation. Unvented versions dump water vapor into your home - extensive use can cause serious issues. Requires exterior propane tanks. Only provides heat and is worthless for summer heat waves.
Portable GeneratorPros: Among the cheapest option
Cons: noisy, needs either transfer switch ($$) or running extension cords. Must be refueled every few hours at load. Won't work if you are away
On-Demand Generator (propane)Pros: Can supply your whole house with all the power you need. Works when you aren't home.
Cons: Stupid-expensive. Needs propane tank to operate. Often the highest per-kw energy cost. Ugly lawn ornament.
On-Demand Generator (gas)Pros: Can supply your whole house with all the power you need. Works when you aren't home.
Cons: Stupid-expensive. Needs gas hookup (with fees). Gas supply can be disrupted by same events that disrupt power (e.g. earthquake, wildfires) Ugly lawn ornament.
Whole house battery backupPros: works particularly well when coupled with PVs (particularly with metering and recouping costs over time). Works when you are away.
Cons: Stupid-expensive. Takes up interior wall space. High embodied energy. Typically supplies only 1-3 days in winter unless coupled with PVs