DRAG SHOWS have always been a trademark of the GLBT community.  They're so fun that outsiders join the community just to participate.  And yes, even Denver has them. 

Club M     708 East 17th Avenue   Denver, CO 80203
Phone:  (303) 832-1333     Fax:   (303) 832-1444
A gay club with parties on Wednesdays & Weekends.  Drag Shows are more likely to show up on friday evenings.  See the Events calendar on their website:   http://www.hamburgermarysdenver.com/

Lannie's Clocktower Cabaret 16th Street Mall at Arapahoe  Denver    (in the old Daniels & Fisher's Tower)
Phone:   303-293-0075
A theater which features a wide variety of nice & naughty entertainment.  One of their regular shows is put on by the Demented Divas, who are...  well, Demented Drag Queen Divas.  Exact schedule varies.  
website:  http://lannies.com/

BJ's Carousel  1380 S Broadway St  Denver
Phone:  303-777-9880 
Drag Shows are sprinkled liberally throughout the Friday & Saturday events schedule @ either 8 or 10:30 PM
website:  http://www.bjsdenver.com/