I did the Stampede about four years ago on a July 4 at the end of a wonderful 17-day jaunt from Seattle to Calgary. I don't usually like musicals, but the evening show was absolutely fantastic.
If you do this, and you play golf, you MUST call exactly 60 days in advance and play at one (or both) of the two courses out at Kanakaskis. Some of the most beautiful golf, at absolutely ridiculously low prices by US standards - lower than my normal round in Chicago at an average course....