The Great Sand Dunes National Park is located a mere three (only three!) hours from Denver and is the tallest set of sand dunes in North America. You’ve probably seen it before and without realizing it; many of the outdoor vehicle commercials in Colorado have been shot here.
Nearby is Zapata Falls, a unique waterfall that merits a look if you’re in the area.
Campsites are plentiful nearby, but you will need a backcountry permit to camp without one inside the national park.
Entrance is $25 for a non-commercial vehicle; see full overview of the fees here. A national parks annual pass, the “America the Beautiful Pass” will only cost you $80 and well worth the price if you plan on visiting multiple national parks.