My wife has relatives who used to live in Cochrane; nice place, in the foothill of the Rockies, and a good place to start a tour of the mountains. Go further East, and you get to Drumheller, where there is a fabulous Paleontology museum out in the Badlands. South East, and you can go to the Franks Slide or Head Smashed In Buffalo Jump. Loads to do and see, and Calgary is a fun town, not just at Stampede time.
Tim