Adding insulation to attached garage
Fiberglass is an option.  I would go roxul though with your climate.

However insulation is the least of your worry.  If you want to run lines to an area of your house in your climate it must be a conditioned space - meaning it needs heat.  

Really the only option you have in Denver is to run your lines to a shared wall with the inside of your house and install a shutoff on the other side that you can close up for a few of the coldest months (without a conditioned space).  Would this get signed off by local inspector?  Ask him.  It wouldn't happen in my area but who knows in colder climates the allowances they make if you take precautions.  Also make sure all plumbing after shut-off is heavily sloped down and out - I would say at least 10 degrees.