I lived there for eight years before moving to MA in 2004.
Downtown Colorado Springs is not at all a dump.. there are several good restaurants (check out El Tesoro next to the old railroad station, or better yet look up Amanda's Fonda for Mexican cuisine), a brewpub with 'real' pool tables upstairs (Phantom Canyon), hip coffee shops, etc.
A good hike close to town is the loop trail known as Section 16. Ask locally for directions. A little further up Hwy 24 (past Manitou Springs) is Waldo Canyon, another nice one.
Music (to answer your original question) - go see the
Springs Contemporary Jazz Big Band if you're there on a Wednesday; they play at the Thirsty Parrot downtown. It's led by a trumpeter who's a North Texas guy. If Brad Eastin is still their first tenor player, you're in for a treat. I subbed for him for the 2nd set a number of times when he had a regular gig at the Irish pub down the street. Check the Independent (free weekly) for other music listings; not a ton of jazz when I was there, but there was some.
No good sax store while I was there. Tim Glesmann at
Sax Alley would be a good guy to visit, but he's north of Denver, a bit of a hike from C. Springs.