I love the Santa Fe, it has no swimming pool but we rarely find time for a swim anyway at DLP. The rooms are cosy, the beds are amazingly comfy, and if you go for early breakfast (ie before 7.45am) the buffet breakfast is filling and its pleasantly quiet. You can choose, if its available, to have breakfast in the park instead of at your hotel (you ask when you check in to see if its available during your stay). This is at no extra charge.
There are characters there every morning, and you can either walk to the parks (15-20 minutes even at toddler pace) or get the regular shuttle buses.
The external theme of the Cheyenne will win hands-down in any contest with the Santa Fe, the Cheyenne really does resemble a Wild West town. The rooms at the Cheyenne and the Santa Fe are the same size, similar facilities, but the standard room at the Santa Fe has 2 double beds, the Cheyenne standard room is one double and one set of bunks in each room.