This is a great article I found on http://www.ochef.com/ (the link is here). I'm quoting a few pieces here, since I find them extremely useful here in the Denver / Boulder area. Credits obviously to the OChef :)
With less air pressure weighing them down, leavening agents tend to work too quickly at higher altitudes, so by the time the food is cooked, most of the gasses have escaped, producing your flat tire. For cakes leavened by egg whites, beat only to a soft-peak consistency to keep them from deflating as they bake. Also, decrease the amount of baking powder or soda in your recipes by 15% to 25% (one-eighth to one quarter teaspoon per teaspoon specified in the recipe) at 5,000 feet, and by 25% or more at 7,000. For both cakes and cookies, raise the oven temperature by 20° or so to set the batter before the cells formed by the leavening gas expand too much, causing the cake or cookies to fall, and slightly shorten the cooking time.
Flour tends to be drier at high elevation, so increase the amount of liquid in the recipe by 2 to 3 tablespoons for each cup of flour called for at 5,000 feet, and by 3 to 4 tablespoons at 7,000 ft. Often you will want to decrease the amount of sugar in a recipe by 1 to 3 tablespoons for each cup of sugar called for in the recipe.
High altitude obviously also affects other cooking processes, in particular boiling.
On the non-baking front, because water boils at a lower temperature the higher you go (212° at sea level, 203° at 5,000 feet, 198° at 7,500 feet), foods cooked in water have to be cooked substantially longer to get them done. Pasta needs a furious boil and longer time. Beans need to be cooked twice as long at 7,000 feet, and above that height, it's nearly impossible to cook them through without the use of a pressure cooker (which raises the boiling point of water). Slow stews and braises may need an hour extra for every 1,000 feet you live above 4,000 feet.
I've followed these guidelines successfully to adopt a swedish recipe for pound cake (aka "sockerkaka"), and after 3-4 attempts doing small adjustments, it comes out perfectly.