The California Zephyr is a great way to get into the mountains from Union Station. Truly beautiful route, probably Amtrak's best IMO. More of a conventional train than a mountain train, but still a great route.
I remember the Royal Gorge is also a beautiful ride, though I haven't been for many years.
Apart from that, I hear great things about Durango - Silverton and plan to hit that someday. Durango has a lot of train stuff going on, might be worth considering.