The casino is a brand new facility and is quite nice for what it is (a mid-sized Canadian urban casino)!?
http://www.stampedecasino.com/
I have been in the concert area and it is nice enough I guess? Obviously brand new, and would likely be quite intimate as it is fairly small (in a good way)?
The area around there is not bad at all either. Like 10 years ago sure, but when your 'neighbours' are a bunch of millionaires in million dollar condos (Arriva) then how bad can it be?? There is more new tower contruction than anything, although Critical MAss (one of the worlds leading web design firms) has their head office a block away and there are now a number of interesting stops including two Italian Restaurants, a Vietnamese Noodle place in the casino itself (with a patio onto the street) and a great wine store. Cowboys Night Club is also 1 block north.
It is a bit... empty, in the 3-4 blocks between the Casino/Stampede area and the rest of downtown but otherwise I see no areas for concern if it is a concert you really want to see. And i imagine security at a casino is going to be higher than at an average club/bar?
If you need a place to stay Hotel Arts is just down the street and is very nice? Might be pricey for you though? I cannot think of a better place for a couple of guys coming up for a concert in that area and some Calgary night life though?
http://www.hotelarts.ca/about.php
Claeren.