FLT ARRIVING DENVER ENCOUNTERS DELAY BECAUSE OF WX. CONSIDERS DIVERT OR SPECIAL HANDLING.

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FLT FROM ASE-DEN. IN SUMMER WE ARE USUALLY WT RESTR OUT OF ASPEN BY TEMP. WX IN DENVER VFR AND FORECAST TO STAY VFR. MINIMUM FUEL OUT OF ASPEN WAS 6700 LBS WHICH IS BURNOFF; 3000 LBS RESERVE; AND 1000 LBS DELAY (18 MINS) ARRIVING AT DIA. ON ARRIVING AT DIA; VECTORING FOR RWY 35L; ISOLATED TSTM SW EDGE OF ARPT MOVING W TO E NOW COVERING APCH ENDS OF RWY 34 AND RWY 35L. XFERRING FROM APCH CTL TO TWR; TWR ADVISED WINDSHEAR AT 20 KTS. MY VIEW OF THE TSTM CELL; CONDITIONS COULDN'T HAVE GOTTEN MUCH WORSE AND DECISION WAS MADE TO GO AROUND; AS DID ALL ACFT BEHIND ME. ASKED FOR SIDE-STEP TO RWY 35R; DENIED; CONFLICTING LNDG ACFT. GAR; CLB TO 8000 FT; THEN 9000 FT; THEN 11000 FT. 1 ORBIT BACK INBOUND AND ACFT WERE THEN LNDG RWY 34. TSTM THEN OVER RWY 35L/4. OUTBOUND AGAIN; NOT ENOUGH FUEL TO HOLD; TALKING TO DISPATCH ABOUT DIVERTING TO COS; THEN INTO RESERVE FUEL. APCH CTL WAS THEN VECTORING ACFT TO RWY 34 -- ASKED OUR SEQUENCE; #7. DECISION TIME -- DIVERT TO COS AND LAND WITH 1500 LBS FUEL (15-18 MINS) OR ASK FOR PRIORITY TO DIA. TOLD DIA APCH THAT WE COULDN'T WAIT FOR #7; 'WE ARE FUEL CRITICAL' AND 'NEED TO GO IN.' APCH TURNED US BASE AND WE LANDED OK. DID NOT DECLARE AN EMER; ONLY 'FUEL CRITICAL.' SHOULD IT HAVE BEEN 'FUEL MINIMUM' OR 'FUEL CRITICAL;' DON'T KNOW; BUT ANOTHER ACFT ALSO FOLLOWED US FOR FUEL. NOTE: WX WAS VFR ENTIRE TIME EXCEPT FOR TSTM MOVING ACROSS ARPT.