There is the 16th street mall just down the block where you will be training so there are lots of choices.
The Purple Martini comes to mind but it is also NOT roadfood. Great drinks and upscale bar food are the highlight here.
Old Chicago Pizza is also right down the block on Market Street and 14th or 15th St. 110 beers and not bad food for the price either.
Coors Stadium is right down the street, within walking distance. There are a lot of new places springing up since the revitalization of LODO.
Market Street and Larimar squares are always changing with new and ethnic restaurants and shops. So you might want to check those areas while there.
Downtown Denver is mostly well lit at night and fairly clean. You might want to avoid the park around the capital building at night though. Kind of rough and more than a few shady dealings going on there.