Every year, Gallup releases its "Well Being Index" which measures the following:
Out of all US states, Colorado comes in fourth, behind first place Hawaii, then Alaska and Montana. Wyoming rounds out the top five for fifth place.
Colorado is in the top ten list, yet again. In fact, according to Gallup, "Hawaii and Colorado are the only two states that have made the list of the 10 highest well-being states each year since 2008."
The Western US in general is notable for having high well being scores:
Why does the West do so well? Well, the stereotypes about Colorado and west are often true. There is a lot of entrepreneurship, physical fitness activity, and community involvement among Westerners. Moreover, homicide rates are low in Colorado (and also in Wyoming, Utah, and Montana) adding to the "community" measure contained within the index for those states.
Climate may be a factor as well. For example, New Mexico, in terms of statistical data, is nearly as unhealthy and low-income as Mississippi. So why does New Mexico rank so much higher by this measure? It may have something to do with perceptions of how much control one has over one's economic life and physical well being.
See here for more on this from Gallup.