While you can trek to the mountains for more serious sledding, there's a block-wide area in Denver's Jefferson Park neighborhood that has all you need for a few thrilling runs (you'll have to bring your own sled). You don't have to hike to get there, parking is fairly easy, and the hill slides into the park rather than toward the street, making it safer for little ones. The slope isn't overly steep, either, so you don't have to worry about uncontrollable speed.
denvergov.org