Bear/Pepper spray: yes... defense against bears and less evolved **** sapiens, should the need arise.
Cable Lock: yes, 0.25" or 0.375" braided, 8 ft. long, with a case-hardened keyed padlock. You can lock to just about anything.
U-Lock: yes, it is more convenient, faster, can be stored right on the bike, and doubles as a self-defense weapon.
Tent: yes, for you and your gear.
Tarp: yes, with guy lines to make a tarp shelter for your bike.
Lots of electronic gizmos: nope. Digital camera, maybe... netbook can be good, free wifi is everywhere these days. I'm a bit of a photo-bug myself, so I take an older manual 35mm SLR with 20mm and 35-70mm lenses, and a few rolls of film just in case the digital is out of juice.
Solar chargers: not worth it unless you have $$$$ to spend.
Water filter: yes, if only because the one tour I didn't have one was also one of the most dire times I needed one. Keep in mind that depending on where you go in Colorado the water can be bad for you even if you filter it. Higher elevations with mine tailings, etc.
# of water botttles: At least three. Two on the bike, one in a pannier. I carry a dromedary bag with a few liters in it if I know there will be a long stretch with no services. I usually aim for around 800ml of water per hour, so this gives me about 6 hours (~75 miles) worth of water... your mileage may vary.
Camp stove: yes. Carry two. MSR Whisperlite is an old standby of many bike tourists, mountaineers, and campers. Runs on white gas, or lots of other liquid fuels if you get the International version. I also carry a Trangia Mini alcohol stove which I quite like. I find I use the whisperlite in the evenings to prepare meals, but the Trangia in the morning to boil water, make coffee, oatmeal, etc. The alcohol stove weighs almost nothing, and is much faster/cleaner than the whisperlite.
Food: buy food in every town along the way with a grocery store. Spend a little more, talk to some folks, and buy from the local non-chain stores and farmer's markets when you can. It's good karma and almost always a good experience. I keep dehydrated food for side-dishes or emergency rations. Instant potatoes, oatmeal, success rice and cereal grains are great alternatives to "adventure-store bought meals-in-a-bag." Produce whenever, wherever... lots. Fresh fruit and vegetables feel SO good to eat on the road. Especially after a steady diet of carbs and too-salty dehydrated stuff. I like to carry a pound or so of barley flour and a little less than a pound of soy powder, some salt, and some baking soda. Can make highly nutritious, high-energy flatbread just about anywhere.
The one thing I brought on my first tour was a small hatchet for chopping kindling. It was seldom, if ever, needed and found a place on the side of the road with a "free to anyone who needs it" sign after a couple hundred miles of getting tired of carrying it. I did not, however, bring a good pen and something to write on, and missed that terribly. I now take two pens and a waterproof notepad with good quality writing/drawing paper in it.
Good luck! And enjoy.