Keep in mind that all hotels (even the skanky ones) really increase their prices on Friday and Saturday nights. So that $20/night hotel you find could be a $40-50 one on those nights.
I have always stayed at the 13-mile campground. $10/night per campsite, running water from spigots, pit toilets...not too impressive really for the price amounts American campgrounds, not bad compared to Canadian campgrounds. Its not a party campground (pretty quiet), but it is a place to meet other climbers if you're social.
If I was going to stay in a hotel and climb at Red Rocks I'd go to Bonnie Springs.
http://www.bonniesprings.com/ Not anywhere as cheap as you can get, but I've heard good things, and there's no way you could get a room any closer to the climbing:
***Click here for the link.*****