Coors Field is approximately eight blocks from downtown Denver (it is very safe to walk) and if you come during the season, plan to stay for a game.
The locals like the cheap seats ($4 at the rock pile) and you can even catch a ball from there.
If the game isn't much of your choice, there is another reason to go - the view. It is absolutely stunning to see the mountains from the stands. Most of the seats and all of the walkways are accessable to the majestic views of the Rockies. The higher the seats, the better the view.
The stands have a row of purple seats, five rows from the top of the stadium. It signifies the mile high Denver is so famously know for.
The other neat thing about the stadium is, of course, the Rockies. One of the newer teams in baseball, you tend to get caught up in the interests of the game.