Castlewood Canyon lies in an area that is classified as a BSk climate, meaning it is a cold sem-arid climate. It has characteristics of a highland continental climate. Being so isolated from any major bodies of water (continentality), and lying on the leeward side of the Rocky Mountains, there is low precipitation. The diurnal temperature range is high because of the lack of latent heat. This change may have been much lower before Castlewood's dam broke.
The potential of evapotranspiration is higher than that of actual precipitation, making the air dry.

Snowfall in the winter months creates a higher surface albedo (or reflectivity) which makes it harder to store heat from the sun (latent heat). The El Nino Southern Oscillation tends to tamper with snowfall in the area, as researched by Bob Henson. Henson highlights the pattern of a greater number of large snowfalls in years of El Nino. This shows the number of large snowfalls out of the total number per year.

Another reason the region experiences occasional heavy snowfall is due to the convergence of cP (continental polar) air and mT (maritime tropical) air. The mixture of cold dry air and moist warm air  produces heavy snowfall.

High winds from air masses moving west (the westerlies) filter in and out of the canyon. These are not as intense as the chinook winds that blow through the region. The air goes through rapid heating as it drops from the mountains and over the plains.  Early mornings, I personally have experienced Valley Fog in the canyon, caused by cool air traveling over the moist ground near the creek bed.

Hot summers bring thunderstorms to the area, including mesoscale convectional complexes that develop over the mountains and move onto the plains mid-day. The canyon is subject to flash floods and hail during these times.

dam image: http://www.flickr.com/photos/douglascountyhistory/4768653182/
Bob Henson: https://www2.ucar.edu/atmosnews/opinion/974/tricky-relationship-el-ni-o-and-colorado-snow