First, welcome to Denver. My wife and I made the move last August, and have been blissfully happy ever since. Denver's a great town.
There's a master's group at DU that swims at 5:15 every morning. I don't know how great the coaches are, but the pool is very nice. The cost is about $50/mo for the master's swim program. More if you want a membership to use the Ritchey Center gym or join one of the triathlon programs they have there. Check out
http://www.recreation.du.edu/...ber.asp?cat=adultRec.
There are a number of tri clubs in this area. I'd check out the the USAT website for information on local tri clubs.
Wher to live? Hmmm... I think you'll find that there is pretty good access to the multipurpose trail system almost anywhere in Denver. If you want easy access to ride the roads, of course, you'll want to live north or south of Denver proper. Englewood is south of Downtown. Littleton or Highlands Ranch wouldn't be bad for you if you work in Englewood. They are very much suburban communities, but they have quick access to the C470 trail, which will quickly get you to the foothills for some good climbing.
If you want to live in Denver proper, then my favorite area is Washington Park. Old houses and a very cozy neigborhood feel. It's getting pricey, though. Currently, we are renting in Congress Park/Cherry Creek. Also a very nice neighborhood, but very expensive. We got a tremendous deal, or we would never have been able to live here... and I make pretty good money. We are building a house in Stapleton, which is the site of the old Denver airport. It's just east of Downtown, but also has great access to the trails.
Let me know if you have any questions.
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Steve Perkins