Cheyenne is a wonderful place to be. There are many local shops including: Mort's Bagels, Paramount Cafe, Phoenix Books, and many others. It's just 40 minutes from Colorado, Nebraska, the University of Wyoming, hiking, skiing, and many other adventures.
Cheyenne has a few unique distinctions among capital cities. It is one of the least populous capitals (of THE least populous state). It's also the least centrally located. Cheyenne sits right on the Colorado border. My wife and I can get there from Boulder in a little over an hour and we do go up there to hang out when we have nothing else to do. Cheyenne's restaurants serve excellent beef. There are a number of interesting Old West Museums and Frontier Days is a lot of fun.
Cheyenne is a little big city, hosting Frontier Days and other big cowboy events...check out the downtown area with historic trolleys!
Cheyenne has small town charm and flavor. Known in the west primarily for the Frontier Days in July, this town also boasts cowboy flair. The downtown area is walkable and quaint.