I lived in Douglas County and moved to Utah County about 5 years ago. I've also lived all over the west, and moving to Utah was definitely the largest culture shock. You get used to it, and when you leave the state it slaps you in the face, but it is what it is. Douglas County has changed a lot since I lived there, but it at least was very conservative (to a fault).
You'll miss the monsoon season, Bubbles Liquor World (or alcohol in general), things to do in a city, and dining out. You'll learn to hate smog and wind, as the SLC-Provo valley has about the worst air in the country. Drivers are a little worse in Utah than Colorado (OK, much worse LOL).
The LDS thing hasn't really been an issue since I've lived here, though I have been told it used to be much worse. The biggest thing is people used to just assume I was LDS, so they'd strike up small talk at the store or something talking about very LDS-specific things that I didn't understand. Just be polite and it's no big deal. Shopping though is a big thing. Families are huge here and in Utah County everything but the big box stores are closed on Sundays (even some of the big malls), so going shopping means fighting through huge crowds of families. Also, my best friends I've met through work. Most of my coworkers are LDS, and you won't hang out with them outside of work if you aren't LDS. They are busy with large families and church functions several times a week. It's also hard to describe, but I guess I'd just say there's a bit of a divide between LDS and non-LDS that's a cultural issue. It's never a problem though and we all get along fine, and all of the people I know are very kind and generous.
SLC I think is kind of unique because in any big city in the country you Google "things to do in XYZ" and it comes back with 30 pages of museums, night clubs, attractions, sports venues, etc. SLC has "go for a hike" and "visit a temple". Provo adds "impromptu comedy club". There is a really nice aviary in SLC, and a museum, and a botanical garden.
The church is very involved in politics, which is a double-edged sword. You get the things you expect, but I also think it's a huge reason why Utah will be a political holdout long after everywhere else has fallen--which is nothing to sneeze at. If you're looking for political asylum, I don't think Utah can be beat. Like Colorado, Utah has a ton of outdoor stuff to do. If you own a brodozer and a pile of UTVs you'll fit right in!
ETA: Oh yeah, you'll miss ketchup. Fry sauce has unilaterally replaced ketchup in Utah. When I do get ketchup now when I'm out, it's quite a treat.