We were there in 1998, not sure what may have changed since then. We went to some of the places listed here.
I agree that Garden of the Gods is beautiful! We went horseback riding there. What a beautiful and fun experience! I'm not sure how old your children are, but at that time they had to be 8 for the horseback riding. DD was turning 8 in a couple of days, so got to go.
At Royal Gorge, along with the bridge that you can drive or walk across, and the incline railway you can ride to the bottom, there was also a tram (think skyride) that went across the gorge. I do not like heights, but even more I do not like things like trams that are just held up by cables with nothing underneath! However, my family (DH, DD8 and DS13) all wanted to ride it. I decided I'd rather die
with them than watch from the side as they fell to their deaths! HAHA It wasn't as bad as I thought, I just didn't look down!
If you are going to be in the area for a few days, I'd advise you wait until the last day to go to the top of Pike's Peak. All four of us got altitude sickness. DH and DS just got headaches, I was short of breath and very dizzy, and DD was dizzy and ended up throwing up. We were told later that it is best to give yourself a couple of days to get used to the altitude of the surrounding area before venturing up to the peak! We had only been in the area less than 12 hours before driving up.
We loved the area and I'd love to go back sometime and see the things we missed and repeat the things we did do! Well, except for that tram!
Edited to add that I just saw that jsmith had already written about how to avoid (hopefully) altitude sickness!