I was born and raised and lived most of my life in Montana, but have also lived in Wyoming and, briefly, in Idaho, where I have relatives. Also have relatives in Colorado (where my mother was originally from) and have spent plenty of time there was well.
There are good areas to live in all four states, but some places can definitely be more insular than others. I've even lived in one small town in Montana that wasn't all that friendly--or some of the people weren't, while others were great.
It all depends on what you want. The better-paying jobs are usually in bigger towns, while the better outdoor opportunities are usually in smaller ones. Being self-employed I tend toward the small-town end myself, but unless you live in one of the cities, such as several in Colorado, or Boise (none in Montana of Wyoming qualify as real "cities") then you're not too far from good fishing and hunting.
Most of Idaho is warmer in winter (and still not too bad in summer) than the others. Most of Wyoming is colder than most of Montana, believe it or not, because it's higher in elevation. Colorado varies considerably depending on location.
