We definitely need more specific information--where in Colorado (climate differs radically in different parts of the state), your budget, your experience level, etc.

I will second Lori on starting with three season gear and not doing winter camping until you have lots more experience. You need really need fall, spring, summer experience before tackling Rocky Mountain winters. Also, gear that is suitable for winters is too heavy to lug around in milder weather. I don't know if temps still get down to -40* as they did when I lived in the Rockies (Laramie, WY) during my high school and college years, but conditions sometimes approximated those described in Jack London's "To Build a Fire."

I definitely would not go winter camping, especially in the mountains, without first taking courses from the Colorado Mountain Club or a similar group in winter camping, avalanche safety, etc. and going with an experienced group until you have gained a lot of experience. While you're doing that, you can rent or borrow winter gear. In fact, I'd suggest renting three-season gear, also, until you've gained some experience and can determine what fits your needs.

The "one piece of gear fits all" concept might work up here in the mild Pacific NW (winter temps usually no lower than +10*F and often in the 20's F, although tents need to hold up under heavy and soggy snow), but it won't really work in places with a more extreme climate.

You can start by reading the articles on the home page of this site, left-hand column. Do note, though, that the conditions are for the Cascade Range for three seasons, a somewhat milder climate than parts of Colorado, especially the higher mountains. The winter camping section of this forum is another good place to study.