Although I've lived four hours from the Rockies all my life, I never learned to ski. Main reason was that it was very expensive when I was young and we could never afford it. And of course as JWs it was not really that important (we did ice skate, which I never enjoyed cause my feet always hurt).
My first experience skiing was as an adult. We had played a new years eve gig at a nearby resort and they gave us all free skiing the next day. my younger siblings had all learned to ski and they enjoyed it. I put on the skis, screamed all the way down the bunny hill, terrified and unable to control myself or stop. Took the skis off at the bottom of the hill, and then went into the lodge and enjoyed the rest of the day with hot toddies in front of the fire! I put it down to one of those experiences that just was not going to work for me learning it as an adult.
I bought my youngest daughter a snowboard at one of our first xmas's, and she was so ecstatic - I remember her running around the house hugging the board all evening. Two of my daughters snowboard and love it, but it usually involves a weekend at the mountains and the accompanying expense, so they don't go that often. But they are passionate about the sport and recommend it highly.
I've heard that snowboarding is easier than skiing and a lot more enjoyable. I would definately recommend lessons, though, in any case. But since you are so close to all those wonderful hills...