The former Union Pacific Depot at 121 West 15th St. in Cheyenne, (307) 632-3905, is a great place to explore the history of Cheyenne and the railroad that put it on the map. The Union Pacific Depot is the last of the grand 19th century depots remaining on the transcontinental railroad and a fine example of the Richardsonian Romanesque style in the West.
The roundhouse is open to the public during Depot Days in May. Inside the depot is a transportation museum with photos and artifacts from early Union Pacific passenger and freight traffic. Check the website linked above for seasonal museum hours.