Highway:
Major highways are US 20, WY 120, and WY 798.
Interstate 25 is 124 miles (less than two hours on an excellent, un-crowded highway) to the southeast, at Casper, Wyoming.  
Five trucking firms serve the area.
Powder River Coach USA is the bus line serving the region.
Wyoming is well-known for the excellent condition of its highways.

Rail:
The Burlington Northern and Santa Fe Railroad serves the area, running through Thermopolis.

Air:
It is important to note that driving distances in Wyoming are not comparable to those in more heavily populated areas.  Here, distance is better considered in terms of time than miles -- you can almost always average a mile a minute!  It's likely that you can leave Thermopolis, fly out of one of the surrounding airports, and arrive at Denver International Airport about as quickly (and with a lot less stress) than a good many residents of the Denver area can!

G&W Aviation operates the Thermopolis airport, which is suitable for private aircraft.  
Worland Municipal Airport, 33 miles north, offers several daily commuter flights to Denver. 
Yellowstone Regional Airport, at Cody, 84 miles north, is served by two airlines.
Riverton Regional Airport is 52 miles to the south.
Casper International Airport is 120 miles to the south.

Parcel Services:
There are three local shipping companies.  Fed Express is available and United Parcel Service has a local terminal. Overnight or second day service is available to almost anywhere in the Western United States.