Mostly just confirming what others have said.
From Chicago, unless you are leaving on an especially busy day, your car will most likely be "open seating" so you can find what looks to be a good window seat and a hope for no seat mate. No guarantees, but highly likely.
I've never brought a blanket, but always make it a point to wear a heavy shirt and long pants, even in summer. The coach cars do get cold at night. Some sort of travel pillow will be helpful. Sleep is possible in small doses, but you will probably be very eager to see daylight come and an opportunity to get an early coffee from the Cafe car.
I usually do a happy hour in the observation car prior to dinner with a couple of drinks from down below and some mixed nuts, etc.
Certainly try for dinner in the dining car, but you may need to be proactive rather than hoping to be asked. If nobody comes around with reservation requests by 5 PM, I just go to the door of the dining car and tell them I'd like to reserve a time. They are often "grumpy" about it, but I've never been completely turned down. Breakfast in the diner is never a problem. But, depending on your time constraints after arrival in Denver, be aware that you can get a truly excellent breakfast in Union Station at "Snooze".
That about covers it. Have a great trip!