By air: Cheyenne Regional Airport has service from American, United, Frontier, and Great Lakes airlines. It's a small airport; Denver International (about 100 miles south) has far more options if you're flexible.
By train: Amtrak doesn't serve Cheyenne. The nearest station is in Fort Collins, Colorado, around 41 miles away. See amtrak.com for schedules.
By bus: Greyhound connects Cheyenne to cities across the country. Schedules and fares at greyhound.com.
By car: Cheyenne sits at the junction of I-25 and I-80, making it easy to reach from Denver (about 100 miles south), Casper (180 miles north), or Salt Lake City (440 miles west).