Even for those under 21 New Orleans and Vegas would still be fun. I've been to New Orleans underage (granted I still ended up drinking there) but the seeing and hearing about the history of it was worth it enough to me. Vegas has some amazing shows that people of any age would enjoy.
Also the IRON shirts would be pretty funny
While the idea of Colorado sounds amazing to me and I would be able to visit a friend I haven't seen in a couple years, I don't think that would work out as well. Simply because it is geared towards a single event so only those who ski/snowboard would find the most enjoyment out of it. By choosing a venue of a large city such as Vegas it opens up a large variety of things to do so its more likely to be enjoyed by a larger crowd.
If we chose Chicago I could ask about some places to go see. Last time i visited family there it was around the 4th of July so we blew some stuff up and then stayed at my uncles house that was on a lake outside of Chicago (the name escapes me) and took out my cousins seadoos. So I would be fine seeing the rest of what Chicago has to offer.