We own a timeshare in Santa Fe and love it! I have been to Santa Fe at many times of the year, and I agree that September would be a very nice month; early October might be okay too, but it could snow in either September or October. In October, there is a balloon festival in Albuquerque (1 hour away). I have experienced snow in Santa Fe in March and April (although it was a more spring-like snow); we went for Xmas a couple years ago, and it was very cold with snow. In the summer, it can be very hot. Like Colorado, the weather can be very changeable at any time. I would imagine May would be a nice month too, but it wouldn't be opera season yet. Both Thanksgiving and Xmas are nice times to be in Santa Fe with many events, but the weather can be cold, the town will be crowded and restaurants raise their prices.
We have a week for Indian Market this year which starts August 20th. Indian Market, usually around mid-late August, is the most popular week in Santa Fe; a huge event for southwest indian arts. I believe there is a Spanish arts fair in early September.
Sally