Don't come to Red Deer. I live here, it's a dump, and the WHL is no where near NHL calibre hockey.
First you have to ask yourself, are you coming solely for hockey or some entertainment as well?
If it's not only hockey, then come in the summer time where you can also tour Banff/Jasper.
Ignore some of the posts to skip Edmonton. If you're skipping anything, you should be skipping Calgary as there really isn't much to do in the winter time. Edmonton is pretty much the same, but at least you can check out West Edmonton Mall, which is Alberta's number one tourist attraction. I'm sure you'll have a blast there.
www.westedmontonmall.com
If you decide to come to Calgary, check out Calgary tower and the Olympic park. Both cities are much more attractive for tourists in the summer though.
Personally, if you're spending all that money, I'd go to all 3 cities.
www.aircanada.ca cheap flights, and contrary to what people will say, it's a decent airline, and cheaper than Westjet. Fly, don't take the train (only route is between Edmonton and Vancouver) and you'll save time.
Like I mentioned, if you're coming mainly for hockey, then go to both Edmonton and Calgary. If you want some fun as well, add in Vancouver. You live life only once. At the end of your life, it won't really matter if you saved $100-$200. If hockey isn't your main priority, come in the summer (July) and tour all 3 Western Canadian cities as well as the Rockies
Tickets - buy them online the day they are released. ebay.ca won't have EXCESSIVE prices in both Edmonton and Calgary, maybe 15-25 dollars above face value. TNTtickets.ca for the Oilers is another option, though they overcharge more...
Enjoy your trip.