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Well, I headed down to Lathrop State Park over Memorial Day and did some fishing on Horseshoe lake.  There are two lakes at Lathrop, (Martin and Horseshoe Lake). 
Martin allows any type of water craft, whereas, Horseshoe only allows larger boats to troll (which is nice, as the lake is relatively small (about a mile by a half mile or so). 
Anyway, the fishing always seems to be very good there, especially for rainbows but also for largemouth bass and an occasional tiger musky.  I fished the SW part of the lake just because the wind was horrific (constantly blowing 20-50mph, all weekend, argh).  So, at times, when it was too windy to cast a fly rod, I trolled night crawlers (about 1/2 of one) on a lindy rig.  I also fished crawlers below a slip bobber.  Both techniques were very effective.  When the wind went down just a bit and I found some shelter from the wind on the leward side of the lake, I nymph fished with #14 hares ears, pheasant tails and calibaetis nymphs.  I know, they are a bit large but work very well there.  The trout range from an average of about 14-15", with others much larger, running several pounds and more.  Almost every late afternoon and evening, they (the trout) actively surface and are easy to find.  I've found that when the water is calm there, (which doesn't happen very often) a slow retrieve is effective, whereas, when it's windy, after letting the nymphs sink down for about a 5-10 count, it's almost impossible to strip them too fast and a quick retrieve will lead to obvious hook ups.  The fish there fight impressively, jumping, leaping out of the water and putting on quite a show.  So, if you can handle the wind, it can be worth it.  Over the course of about 5 1/2 hours, I landed 25 rainbows and kept a few for dinner at camp.  But be prepared for the wind as Chicago has nothing on Walsenburg, as far as being referred to as the windy city. 
Also, when it does get windy and fishing is difficult, one can always head west on 160 for just over an hour and check out the Great Sand Dunes, which are cool and a must see.  Just be sure to wear some sunglasses and protective clothing, as the sand can really get whipping across the open dunes.  Take care.           
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