For breakfast, I recommend the Delectable Egg on Market Street. They have good coffee, good food, and good service. Breakfast doesn't get any better than that! From Union Station, cross Wynkoop Street and travel straight ahead. You will be on 17th Street. Go three blocks to Market Street. Turn right, restaurant is mid block between 17th and 16th Streets.
I also recommend staying at the Oxford Hotel on 17th Street - only 1/2 block from Union Station. It is the old historic railroad hotel and dates back to the 1890's. If you can't stay there, I recommend you at least go into the lobby and look around. You also don't want to miss the Cruise Bar in the hotel It has been open continuously since Prohibition was lifted in 1933.