Look to the right of this blog, to the beginning of the "News" section. I've added a page to this blog which contains links (by state), to the MSDN events, User Group sites, and other event listings. States include Montana, Wyoming, Colorado, New Mexico, Arizona, and Southern Nevada. I've started trying to consolidate/aggregate the info from the various linked sites into a single Live calendar, found HERE.
If you've ever tried searching online for event information, you've probably seen various community and Microsoft-based sites that show event listings, user groups, etc. This is a stab at consolidating the proper results and data for the part of the US in which I work.
I hope you find it helpful!
I'll let you know more as I add additional sites or find a better way of consolidating data.