It's a reason that I love living in Denver, Colorado. I live (affordably) about two miles from Downtown. There is a huge network of urban walking trails just a few short blocks form my house. I either bike or walk (or both thanks to the bike share) to work almost every day (or take public transit when it's really cold).
Since Denver is a very compact city at the core, I can get anywhere in the central city on foot. All the major sports stadiums and major cultural attractions are within a mile or two of each other. Most of the cities best bars and restaurants are clustered around the city center.
If you can live and work Downtown...it's just an amazing place to live. It's a major city that is extraordinarily approachable.