Technically, we have one. A resident just needs to drive to a county with a sympathetic sheriff and obtain a statewide permit. Unfortunately, many of these counties are quite some distance from metro Denver (where I live). Denver won't hand out permits to anyone (unless they have connections).
Governor Owens, a Republican was going to pass uniform state-wide gun laws (including a concealed carry permit available to anyone qualified to purchase a handgun and pass a safety course). He even campaigned on this. It was so close to passing that Denver Mayor Wellington Webb (a black, liberal democrat) took out full page ads in the two main daily newspapers (payed for with Denver taxes) imploring Denver residents to write the Governor pleading not to pass this law. This was about a week or so before Columbine. Since Columbine, the issue has been placed on the back burner and forgotten. I haven't heard Owens talk about resurrecting this issue that he campaigned on.
If some of the school staff had been carrying firearms they might have been able to stop Klebold and Harris sooner.