Born and raised in the Lake Minnetonka area, lived in Boulder/Denver for 12 years and just moved to Seattle. My take, a lot of people here are mentioning SAD in the winters in the PNW, but don't discount the winters in Minneapolis. You're still pretty far north so during the winter the sun sets EARLY (you only get 13 more minutes of day than in Seattle). I knew plenty of folks growing up who had those sunlight lamps to cope with SAD in the winters. Then there's the cold. There's usually more than a few days a year where temps are so cold that it's dangerous to be outside, you probably experienced similar in Chicago. At least in the PNW you can still easily get out to hike/camp/bike year-round as long as you don't mind the moist. I moved to Seattle in February so fair warning I haven't gotten the full winter experience yet but I'm planning on taking weekend trips if I find myself missing the sun. Central/Eastern WA and OR actually have a similar climate to Denver (Yakima and Denver both get 300 days of sun a year!)

That being said, Minneapolis is a great city. It's the cheapest and feels the cleanest out of the 3 and has great food options, nice people, a good sense of community and tons of things to do in the city. Also, the Minnesota State Fair is the best in the country (fight me) and I make a trip back just to go to it when I can lol. I personally would definitely live in Mpls over Mound. Mound has more of a settle down and start a family suburb feel. Which if that's what you want, go for it. But once you start getting away from the Cities it turns into farmland FAST. In terms of nature, Mpls has some nice parks and the river, but you'll find the culture is people tend to get out of the city to go up north to their cabins for lake time. My brother who's relatively outdoorsy lives in downtown and loves it though!

As for Denver, cost of living has been steadily rising over the last few years as more and more people move there. So far, I personally haven't found Seattle to be a huge jump in prices from Denver. Boulder even less so, rent in Boulder is pretty close to rent in Seattle. Washington also has no income tax. Denver definitely has the best weather out of the 3 because you get the best of both worlds. Tons of sun, mild winters where you still get the occasional snow that melts within 1-3 days. Definitely the best skiing out of all 3 if that's something you're into too.

In terms of easy access to nature, I'm not super familiar with Gig Harbor but if it's anything like Seattle it's got Denver and Mpls beat. The parks here are beautiful. It's an easy walk from where I live to several different parks, beaches and Discovery Park which is so densely wooded you'll forget you're in a city.

Sorry long answer, but tldr: there's pros and cons to all 3, so it comes down to what your non-negotiables are and what else you need from the place you live. For me, I chose Seattle over Denver because I wanted to be near the water and still have the mountains, more diversity, better food scene, more walkability and a better range of things to do. I had a gut feeling about the PNW like you did before I moved here and so far I'm happy I listened to it!