I can't say whether Milwaukee is better than Denver but since I work in Milwaukee and surrounding areas pretty much every day I can give some insight.
Milwaukee has some pretty extremes in the weather. Winter can be as cold as -10 on some days with the average winter day being in high teens to mid 20's. Some years there is little snowfall and others there can be weekly 10-inch snow storms. Summer can get pretty hot (mid 90's) but it's the humidity that can be a bear. Spring and fall days are simply awesome. Great time to be in Wisconsin.
Property taxes vary greatly by community. Personally I would stick to one of the suburbs - Waukesha (birthplace of Les Paul), New Berlin, Pewaukee, Delafield are all great places to settle down. If you are a little more flush with cash there are some real nice places north of the city - Glendale, Whitefish Bay. While there is some traffic during rush hour it's nothing like a large city. If it takes 20 min (normally 9-10 min) from the western suburbs to downtown that's considered a horrible delay.
The schools in the city can be a grab-bag. Make sure you check out the school where you buy your house if it's in the city. That could be a deal breaker. Suburb schools are pretty top notch.
Politics tend to be left leaning in the major cities in the state with rural areas being more right. Our state has been under democratic control for some time now and has voted democratic for president since Reagan I believe.
Shopping is good with 3+ major malls. There are many great local shops on Farwell street which is near UW-Milwaukee.
Good bar scene on Water street and Old World Third street.
Art Museum is one of the city's greatest assets.
Miller Park is a awesome ballpark (this from a Cubs fan - though that is our second home, hence the nick-name Wrigley North).
Decent variety in radio stations. There is one of the nations top country stations - 106.1. There is rock, alternative, R&B, pop - the usual.
Door county, Wisconsin Dells can both be great weekend getaways with the family/missus. Plus there is a lot of winery's around if you like that sort of thing.
Whistling Straits is in Kohler. The PGA Championship is being held there this year so you can go see Tiger sink his putter.
Lots to do in Madison as well - only a 70 mile drive away.
Chicago is only a 1.5 - 2 hour drive, but you knew that already. I won't go into the awesomeness that holds. Plus if you don't want to drive you can catch the train down there. There is talk of turning that line into a high speed rail line but that may be years off if at all.
I'm sure there is more but I've rambled on enough already.