We lived in Calgary for 20 years until fairly recently. There isn't a big gay scene there but there are a few clubs and one bath house.
At 306 17th Ave SW there is a building which houses a mostly gay funky restaurant called Victoria's, around the back of the building is the bath (Goliaths) and next door in the same building is a dance palace mostly geared to the younger set.. There's also another dance place called the Twisted Element.
There's a couple more I can't remember the names.
For the leather and denim crowd there's the Calgary Eagle. I think those Eagle bars are sort of a franchise chain.
Unfortunately you won't be there for the big Calgary Stampede in July which is preceded the weekend before by the Calgary Gay Rodeo which is really a lot of fun. If you can switch dates do.
As for non gay stuff.. well as you said you're mainly there for the Rockies and it's only about a 90 minute drive to Banff and another 30 minutes to Lake Louise which also shouldn't be missed.
Another shouldn't miss thing is the Royal Tyrell Museum of Palaeontology,, aka the dinosaur museum out in Drumheller Alberta,, again about 90 minute drive. It's the largest dinosaur find area on the planet. and the museum is great.. here's the link http://www.tyrrellmuseum.com/
And take a sweater and a light jacket, it can get cool in June espeically at night but even some days.