* In Colorado, Boulder is minutes from fantastic climbing. It's about 45 minutes from alright skiing (Eldora) and 2 hours from great skiing in Summit county. Golden is closer to Summit county, and still close to climbing, but the climbing isn't as good/diverse.
* In Utah, you can do some river stuff (not traditional surfing) in Moab and the climbing is darn good. You can also live in SLC and you are 30-60 minutes from climbing and 15 minutes from Alta (depending where in the city you live) which I hear is world class.
Boulder, Denver, and SLC all have great SWE job markets.
I don't know any place in the USA that has all three. Maybe Hawaii (not sure about the climbing, but I've heard of folks skiing in the morning and surfing in the afternoon)? Maybe southern California?