It's doubtful that people have any confusion as to which party they will be registered with. One of the most important things to keep in mind when deciding which party to check off on your registration (besides personal preference) is the Caucus/Primary system. You can only attend the caucus for your party, or vote in the primary for your party. The Minor parties (Minor status according to the State of Colorado) may not have a caucus or primary. If this is important to you, choose your party carefully.
Here is a list of the Colorado Political Parties from the Secretary of States Office.
(* - Minor Political Party Status 2/08)
And of course there is the option for "Unaffiliated". On some older voter registration applications, there are listed three other parties: Gun Owner's Rights, Pro Life, and Reform. If you selected one of these three parties, you will receive a notice from the county that these parties are no longer recognized and you were registered as "Unaffiliated". This costs the county in time and postage.
If you'd like to take an unscientific poll/questionnaire to help you decide or define if you are a conservative, liberal, libertarian, or something else, here are some links to check out. Consider their results with a grain of salt.