I have been told by several potential employers that Colorado is an "at will" state. Under this I have been told that they have the right to....
a. inquire about and request documentation on all forms of income I may have;
b. inquire about and request my complete medical records;
c. fire me and not give a reason
d. and as under (c), they could fire me for any reaon including handicap, gender or race.

This doesn't sound right. What's the scoop on this?

You have been informed incorrectly. You are right in that employers can terminate for any reason AS long as it is not illegal. Illegal terminations are for things such as discrimination. It is also illegal to require that the employee provide medical records. (It is not illegal for employees/potential employees to be required to take a drug test or medical examination, if an offer is contingent upon passing such requirements. Employers should not receive the actual medical/drug test report. Instead, they should receive information that indicates a pass/fail.)

They don't have to give a reason for the termination.