We did a simple local stag for a friend.
Start with a Brazilian BBQ, all-you-can-eat meat bonanza. Ex. Gaucho, Bolero, Pampas.
Then, the Ballet.
Raw Bar in Hotel Arts has amazing cocktails, but it is more of a date night location.
Indie style live music - Palomino (good bbq upstairs too), Nite Owl, Broken City, Commonwealth, sometimes there are events at #1 Legion. Once you know the date I can be more specific. Hang The DJ at Dickens. Ironwood is more of a sit-down granola-folkie scene, and can be quite expensive for cover.
I would not agree that there is more to do in Banff:
http://www.theculturecycle.com/