There s the parade of lights, there s Belmar skating area in Lakewood, I m sure you could catch a play at the Denver Center for Performing Arts, Zoo Lights won t yet be open but Denver Botanic Gardens Blossoms of Light will be (and I like that one more anyway.) You could hit Estes Park or 16th St Mall etc. for shopping. You could go skiing or snowshoeing. Larimer Square is all lit up so dinner down there might be cool. Saturday is the free day at the Denver Art Museum.
The best way to find events in Colorado on any day is to search here http://www.core-media.org/content/view/4��
parade of lights: friday at 8 and sat at 6