This paper [PDF] on water transfers in Colorado is more on the economic impacts on the comparative basins, but also discusses historical transfers.Please comment if you have more information on water markets in Colorado.
Another paper [PDF] by Charles Howe, Jeffrey Lazo, and Kenneth Weber (1990) has a table of water transfers in the Arkansas Basin, the most controversial basin - but no prices. I've attached a copy of this table [DOC] that I updated for my thesis with information from the District 2 State Engineer and the Howe and Goemans paper. As you can see there is limited information on these transfers, part of the problem.
The Northern Colorado Water Conservancy District has a functioning water market internally, everybody uses it as a model of the market. The problem is that it is transbasin water meaning no legal obligation for return flows and the market is between anybody in the water district that receives Colorado Big Thompson water.
Charles Howe has been very active in discussing water markets and has a lot of stuff out there with other co-authors on Colorado's efforts.
Bottom Line: Markets differ in form, function and efficiency. Take the time to find out why.