Altough I have not yet been, you could try:
1) Gymboree (there's one in Parker)
2) Wildlife Experience (Cub's Den?)
3) Cherry Creek mall has indoor climbing structures for kiddies (free)
One place we really like to go is the Children's Museum. Great fun for the little ones. I think we'll be buying a yearly pass as we get closer to winter. Now that the construction on I-25 is done, this is a really easy drive.
This summer, we have spent alot of time at the zoo. One suggestion my friend had was to go to all the indoor structures. You can still see alot of the animals that way. That probably won't be too pleasant on rainy/snowy days, but it might be a good choice in the fall/winter/spring even when it's not super warm & sunny out.
I'm glad you asked this question. Living in Parker, I'm curious to see what suggestions people can give you for indoor play in the south.
Thanks!
P.
Additional notes:
The library is always a hit with my kids. I went last night and noticed on the receipt that they are offering a 2-for-1 admission to Wildlife Experience - BONUS!