B737-500 FLT CREW WHILE ON ILS APCH RECEIVES A TCAS RA; EXECUTES ESCAPE MANEUVER AND RECEIVES CLR OF CONFLICT. LANDS.

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SIMULTANEOUS APCHS WERE IN USE IN DENVER WITH WX APPROX 500 FT OVCST AND 1/2 MI VISIBILITY. WE WERE VECTORED FOR THE ILS RWY 35L APCH AND INTERCEPTED THE LOC PRIOR TO CHOLA INTXN. JUST PRIOR TO CHOLA INTXN; WE WERE CLRED FOR THE APCH AND INSTRUCTED TO CONTACT TWR. BEGAN DSCNT ON GS AND CONTACTED TWR AS INSTRUCTED. A FEW SECONDS LATER; RECEIVED TCAS RA 'MONITOR OR REDUCE VERT SPD' AS A TARGET WAS SEEN ON TCAS SLIGHTLY TO THE R AND APPROX 400 FT BELOW US. DUE TO IMC; UNABLE TO VISUALLY ACQUIRE OTHER ACFT AS FO COMPLIED WITH RA. SECONDS LATER SECOND RA 'CLB; CLB' WAS RECEIVED AND FOLLOWED; HOWEVER; COULD NOT INFORM ATC DUE TO CHATTER ON FREQ. SEVERAL SECONDS LATER; CHATTER CLRED AND TOLD ATC OF RA AND CLB. HIS RESPONSE WAS SOMETHING LIKE 'ROGER; THAT'S JUST PARALLEL TFC ON THE APCH; SEPARATION IS GOOD.' I TOLD ATC THAT WE HAD TO FOLLOW RA SINCE UNABLE TO SEE OTHER ACFT. DON'T RECALL EXACT RESPONSE FROM ATC; BUT HIS TONE INDICATED HE WAS CLRLY ANNOYED WITH US FOR FOLLOWING RA. RECEIVED 'CLR OF CONFLICT' AND RAPID DSCNT WAS MADE IN AN ATTEMPT TO SALVAGE APCH. TOLD ATC OF THIS AND POSSIBILITY OF MISSED APCH WHICH SEEMED TO ADD TO HIS 'FRUSTRATION.' ATC REMINDED US SEVERAL TIMES WE WERE HIGH ON GS (WE KNEW THAT). VERY HIGH TASK SATURATION BUT LATER RETURNED TO GS FOR A BARELY STABLE APCH AND NORMAL LNDG. A FOLLOW-UP CALL TO TWR AFTER LNDG RESULTED IN CONVERSATION WITH SUPVR; NOT CTLR IN QUESTION. I EXPLAINED TO HIM THAT MY COMPLAINT WAS NOT WITH THE RA BUT THE CTLR'S RESPONSE TO IT. I TOLD HIM THAT WITHOUT A VISUAL CONTACT WITH OTHER ACFT; RA HAD TO BE FOLLOWED. EVEN THOUGH CTLR NEVER ISSUED INSTRUCTIONS CONTRARY TO RA; HE SOUNDED UPSET THAT WE WERE FOLLOWING IT. SINCE I CANNOT RECALL OUR RADIO EXCHANGES VERBATIM; A REVIEW OF THE ATC TAPES/DATA MIGHT BE IN ORDER.