I decided on heat pumps and was lucky enough to find a reseller of Mitsubishi who mentioned his contacts there were looking for a cold climate home in elevation that wanted heat pumps to prove their tech.
Long story short, I put in heat pumps at a fraction of the cost of what it would normally cost. Now the benefit of the mountains as opposed to Denver is it rarely gets below 0 even if Denver is -15 the mountain low might be -5ish.
Yes efficiency goes down the colder it gets but when I owned the home I never had to supplement the heat pumps to keep the house warm. It would pull 120F heat when it was -5 out. Again when its -5 natural gas is a lot more efficient but the idea is its not -5 all year. The first year I had them my electric bill averaged $650ish to $310. Also I got AC in the summer as a bonus.