Colorado, Idaho, Montana, or Wyoming?

Each of the four states that you've listed are incredibly large. You're asking about a combined area roughly three times the size of Japan with a population of over 9 million people. Being "conservative" isn't going to define your experience living in a certain area just like being more moderate or liberal leaning wouldn't define your experience. There's an incredible amount of variety to be found within each state. There are areas of each state that are more populous and areas of each state that are less populated. There are areas where people are more conservative and areas where people tend to be more liberal. There are also areas that are more expensive and areas that are less expensive. There are areas that are more diverse in terms of demographics and areas that are less diverse. No US state has a uniform lifestyle or standard of living. 

"Living in California" could mean living on a farm or a ranch or in a cabin in the middle of nowhere or it could mean living in an apartment in a big city or living in a house in the suburbs. That's also true for "living in New York State" or "living in Texas." 

Colorado is definitely the most varied of each of the states you listed. There's lots of variety to life there. The other three states are very rural in character, and while there are a few decent-sized towns, they're not very built up at all. 

In the end, which one would be the best for you would really depend on what kind of lifestyle you want to lead, what kind of budget you're on, and what you plan to do for work. 

I haven’t been to Idaho, but I’ve visited the other three states. Colorado is the easy choice for me. It has the highest population by far, and there’s much more to see and do compared to the others.