I live in Denver, and I'm fortunate to live close to many MUPs and roads with bike lanes. I used to ride to commute, but I've moved within walking distance of my office so now most of my riding is recreational. Sometimes I'll still run errands on my bike, depending on time. I have a little road bike and a mountain bike, and which one I take depends on the weather. (snow, rain, scary neighborhood where I don't want to park my precious road bike = my cheap mountain bike) Oh, and if I'm lazy, I'll ride my motorcycle.
One problem I've noticed is that most of the bike lanes here will just end arbitrarily, forcing you to merge with traffic, which to me is scarier than just staying in traffic the whole time. If there's an MUP going where I want to go, I'll usually take it. Otherwise I'll ride in the roads with traffic, as far right as possible. If they provide a bike lane, I'll ride in it, although I'm always bitter when I have to merge back. When I first started cycling I tended to stay on sidewalks because I was terrified of the road. Now I'm terrified of riding on sidewalks.
I stop at all lights and stop signs, use hand signals, and wear a bright orange jersey.