Everyone knows (and my friends were quick to point out while the bug was still sucking my blood) ticks can spread lyme disease, but there are no documented cases of Lyme Disease from ticks in Colorado. You can get Rocky Mountain Fever from ticks, but it's also quite rare. (It's much more common in the southeast.)
But still, ticks are gross. You don't want them.
If you do get one, here's the best way to remove it: tweezers. Pull slowly and gently.