Early July will be Stampede, drunken debauchery, people dressed up as cowboys, and tub girls - What could possibly go wrong.
If you are here then try to hit the rodeo if you like that it's a big midway/carnival with a rodeo, chuck wagon races and stuff. Free pancake breakfasts downtown if you can wait inline.
Calgary Stampede
Otherwise yes get out of town and drive to the mountains.
Have fun