There are 2 things which I think tend to "bite" flatlanders when they come to the mountain West, density altitude and proximity to the rocks.
Density altitude is something that needs to be experienced. It's one thing to theoretically learn that the airplane's performance will be compromised; it's another thing altogether to take that spritely airplane that can climb at 750 fpm or more at sea level and be stuck with 150 fpm or less at 11,000' DA. The Rockies are littered with aluminum from pilots who tried and failed to cross over passes, apparently thinking that the service ceilings on their airplanes meant actual altitude rather than density altitude. "Gosh, I can go over that pass--it's only 11,000', and my airplane has a service ceiling of 13,100'." Fact: It's really hard to cross an 11,000' pass on a nice cool 60F day in an airplane with a 13,100' service ceiling, because in those conditions, DA at that pass is around 13,500'.
Flying in canyons and narrow valleys is very disconcerting to pilots who haven't any experience with flying near the rocks. Suddenly the wings become 250' wide, and it's like they're going to scrape the rocks on both sides. So they fly down the middle, making it more difficult for anyone coming the other way--mid-airs do happen that way, especially if both pilots think they have 250' wingspans.
So there's lots of benefits, if not taking training, at least going along with an experienced mountain flyer the first couple of times.
Here is a flight that is a good example. One of my buddies is a low time private pilot. All of his training and cross country flights were out of the Greeley area, flying into Kansas or Nebraska, all pretty flat country, but at least with higher DAs, since Greeley is at 4700' and most Front Range airports are in the 5000' elevation or so. We've flown quite a bit together, including a flight to OSH one year. So a couple of years ago, we were chatting about the changing of the Fall colors, and we decided to fly over to Marble so he could take pictures along the way--and he had never flown west of Fort Collins.
Early in the morning, we left GXY and pretty easily climbed up to about 13,000', carrying only my Golden and light jackets, and my survival kit which weighs just under 40#. There are some wide passes that we could easily top at that altitude, although still as we flew over them, he commented about how close the rocks seemed to be. After crossing the Divide, our route is over some fairly benign areas which are pretty wide, but after descending over Eagle and over Carbondale, we were headed into the canyon, and he commented several times, "Aren't we awfully close to the sides?" Then we turned into the Crystal River canyon, and Marble was straight ahead. I pointed to it and said, "That's where we're landing", and he exclaimed, "You have to be kidding!"
So we flew the full pattern (upwind, crosswind, downwind, base, and final) and landed--and he'd never landed between trees before, never landed on a gravel/grass strip, never landed on what is essentially a one-way strip (although a rather benign one compared to many). It was a totally new experience for him.
We spent some time there, visiting with others who had flown in, and then we left, around 12:30 or so. Even with my "hotrod" 180hp, CS propped, P172D, our climb rate wasn't more than 150-200 fpm as we climbed out and headed north. We flew over to Kremmling and landed there, borrowed a car, and went to a restaurant for lunch. When we left Kremmling around 2:30 or so, it was 85F on the ground, making the 7411' elevation over 10,600'. We flew northeast from Kremmling, then eastward over toward Granby, and then north toward Milner Pass, to cross over the Divide.
Now at this point, we'd lost about 150# worth of weight in the gas we'd burned, so the airplane was pretty light. Trail Ridge Road is over 12,100' at its highest, and the very best we could do at that point was level to 12,000', in an airplane that similarly loaded on a cold day can easily climb to 15,000'. So as we flew toward it, my buddy expressed concern because he's very familiar with the area, just not from the air, but I told him that Milner itself was around 10,800', and we'd be flying lower than Trail Ridge Road.
So we flew through the pass and to the south of Trail Ridge Road, with the vehicles higher than we were, and then down over Estes Park and then back to Greeley.
So you don't need specific mountain training, and as you've been told, there is no such thing as a mountain rating, but you really should get some experience with an experienced mountain flyer before striking out on your own. It's well worth it, because there is a lot to learn that you won't learn by reading about it.
Cary