I've got some stuff painted, some unpainted, and some part painted. I can't believe the difference between how well the painted stuff holds up and how moldy the unpainted parts are. Now, it is pretty wet here from October to spring, so you might do better in Montana.
Ironically, the wood also takes a beating from the sun -- it fades and gets kind of spongy/fibrous on the outside. The nails also rust more and faster. I quite like the sun-beaten look, though.