There's some pretty good suggestions in here. I definitely recommend Loose Moose Theater and Art Central, which some people have already mentioned.
Last weekend I had to go to the Calgary Philharmonic Orchestra for one of my classes, but it ended up being really cool! Last weekend was Philip Glass. I just checked and tonight is The Music of Led Zeppelin. And if you sign up for a membership on their site (its free) and if you're between 15-29, you can get really good seats for like 12 bucks.
Also, pick up a copy of FFWD. They always have lots of events listed, and a real wide range. Music, art openings, plays, festivals, etc.
If all else fails, skating is always good! Especially outdoors, like at Olympic Plaza or on a lake.
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