Late May might work, but even then that is to early for Yellowstone and Rocky Mountain National Park. Probably a good chance that some or even a lot of the roads would still be closed. It would be good for Durango/Mesa Verde though.
I would probably pick Denver, however, Denver has terribly high car rental fees at times. So take that into consideration. You will need more than 2 days for Yellowstone in my opinion.

I would start out in DEN or SLC and head straight for Yellowstone/Tetons.
1-2 days in Grand Tetons
3-5 days in Yellowstone I would stay a night in Old Faithful Inn, a night in Lake Hotel, and a night in Roosevelt Lodge. Those are the places we stayed at. I am sure the others would be nice as well. We stayed at Colter Village Cabins in the Tetons and liked them too.
Spend most if not all of a day viewing the geysers near Old Faithful. We especially liked Castle Geyser and Riverside Geyser. See Upper and Lower Falls. See Lamar Valley. Mammoth area was my least favorite. However, at that time of year the Elk would probably be in rut and they tend to really be in that area and would be really cool to see. Take a historic Yellow Bus Tour while there.

I think 1 or 2 days in Rocky Mountain- depending on how much hiking you want to do. My daughter and I spent 4 days there in August and hiked about 25 miles.

Mesa Verde is a really neat park. We did it when wetherill section wasn't open(at that time of year) and I think it really deserves a day. So probably 2-3 days there. I would stay at Far View Lodge while there. Food at the lodge is very good

We stayed at The Strater Hotel in Durango. Did the Train-but combined it with the ziplinning. The zipline is amazing, expensive, and worth every penny. It is consistently the top rated #1 "Things To Do" on Trip Advisor for the past 3 or 4 years in the entire USA. www.soaringcolorado.com

You might consider The Great Sand Dunes for a day or a half a day. It is an unusual sight in the Mountains. In May the creek would be just right. In September the Apsens might be great for fall folliage. We loved the primitive road there, but we were in our Jeep. You must have a 4 wheel drive to do the road. I haven't been to Black Canyon of the Gunnison or Fossil National Monument in Colorado. Both of those have always looked interesting to me.

Here are links to my photos from these areas.
Rocky Mountains-- we tent camped here
http://share.shutterfly.com/action/welcome?sid=0IatW7FqybsWH1

Mesa Verde, Durango(and some Monument Valley)
http://share.shutterfly.com/action/welcome?sid=0IatW7FqybsWIJ

Yellowstone/Grand Tetons
http://share.shutterfly.com/action/welcome?sid=0IatW7FqybsWIY

Great Sand Dunes
http://share.shutterfly.com/action/welcome?sid=0IatW7FqybsWIr

I meant to say that September would probably be your best bet before I started on the 2nd paragraph.

I just returned from a 3-day backpacking trip in Colorado's Elk Mountains, near Aspen/Snowmass. The weather gods served up an unbelievably perfect weekend. The odds of this happening in September are much better than in May, so a second to spiro's September.

My preference is to spend more time in fewer places, but you'll get lots of opinions on that issue. Your minimum of 2 full days in a big park (which means 4 nights to me) is fine.

Have a great trip!

spiro, enjoyed your photos. Looks like you guys were having a good time.

I'd start in Denver, head toward Durango and Mesa Verde (more time in MV and do stay at Far View), head toward SLC (if you are there on a day of the Tabernacle choir practic, DO try to go), Tetons and Yellowstone. Back down to RMNP and then Denver. I am not the biggest fan of Yellowstone--I can get caught up on boiling mud pretty quick so two days is plenty for me.

May would give you the least tourist traffic but there is a reason for that. Local call it mud season. You will have either snow or mud or both at elevation. Trail Ridge Road through Rocky National Park will not open till Memorial Day weekend or later. September is less crowded than August but still popular as the leaves change and the bull Elks show off. September will be cooler and dryer and would be my choice. If you are thinking about a loop of Denver to Durango to Salt Lake to Yellowstone you are looking at a driving loop of a couple thousand miles. More than I would want to do in two weeks. I would stick to CO or Yellowstone. If Yellowstone is important then drop southern Colorado.

Thank you for the replies! We are now thinking 2 weeks in Colorado for 2012..fly in/out of Denver. Then do the Tetons and Yellowstone area the following year.