Regardless of what you WANT to do... any property's zoning will determine what you can and cannot do. The size of the property will have a factor in it as well.
Is it zoned residential1, residential2, agricultural, or commercial land? Are you on a property that's a few acres, or over 30 acres?
You should also look out for grazing rights and make sure your property is able to be fenced off. Fences are used to keep animals OUT, not in. On agricultural land you should expect herds (wild and domestic). Chasing animals off your land is illegal. Dogs that run after wild animals can be shot by fellow ranchers. It's the wild west and it's how its supposed to be, wide open and left alone. Giddyup.
Carting in water to your cistern is usually the way to go. Your property will likely have rights to the local tap. It will be up to you to shuttle the water home. Learning to barter with your neighbors may be a good way to start, rather than trying to tackle everything yourself.
Collecting rainwater in Colorado is typically restricted to what you can catch off your primary structure. Again, zoning sets the limits. You can usually extend it a little with overhangs but that's about it.
Denver Water is your new authoritah. "Denver Water" is one of the largest land holders in the State. It not only controls the water but RIGHTS to it. You will become familiar with Denver Water whether you like it or not. You will become familiar with Denver Water whether or not you ever step foot in Denver. Denver Water extends beyond Denver to control anything and everything it can.