Thrillist says South Park:  Bigger, Longer, & Uncut is the best movie to take place in the state of Colorado.  (Click here to see their pick for each state.)

Since this is the type of thing that's ripe for igniting debate and controversy, they explained their thought process like this:

We tried to select movies that took place mainly in a given state . . . [and] that represent a state's place in the nation's collective consciousness.