Lannie's is well-known in Denver for being the underground venue that does a variety of shows, including the sexy and raunchy kind. There's typically a burlesque show of some variety going on, and the generally affordable ticket prices don't hurt.
This swinger's club shut down a few years ago, but reopened thanks to the demand from regular customers. Give the people what they want! It's a drop-in club with a liquor license and private rooms available, but it is aimed towards young, fit couples and single ladies. The seriously cheap cocktails help loosen up the vibe.
For those who are seriously dedicated to the BDSM lifestyle, the Sanctuary is a secret club that requires a membership and the ability to follow instructions. Specific rules must be followed in order to attend any class or event, so those with commitment (or dominatrix) phobias need not apply.