Hi Pascal - you should be in for some fun in Calgary...
For range my first recommendation would be Willow Park. The main store is south of the city (about 15 minutes south by car): 10801 Bonaventure Drive SE. Dave Michiels is their Whisky Buyer and he can be reached at (403) 296-1640. (Tell him Dave from the West Coast Whisky Society sent you... if you want to get thrown out in style...
They don't have the advantage of a website - but probably the greatest selection (approx. 200 single malts).
For the absolute cheapest prices on the standard fare - then the Real Canadian Liquor Store has some bargains - but limited selection. PM me if you have certain whiskies you are looking for and I can confirm if it is one of their regularly stocked items.
Both Crowfoot and Kensington are good shops. Kensington is in the NW - and a bit of a hike. Kensington is a short hop from the downtown core. They have some good staff and a decent selection. I have often gone to Kensington when I couldn't make the trek to Willow Park.
As for a pub - my favourite is Buchanan's Chop House & Whisky Bar:
738 3rd Ave. SW (near Eau Claire market and the downtown area)
Phone Number (403) 261-4646
Fax Number (403) 294-1080
Description: Buchanan’s looks like an old fashioned San Francisco neighbourhood Chop House. A delightful modern definition of an American classic, this restaurant is famous for Alberta Beef, yet they always serve an excellent daily fresh fish. A shrine to single malt whisky, Buchanan’s features 146 selections plus a predominantly North American wine list with dozens of “by the glass” choices. Contemporary food in a comfortable, old fashioned setting….lunch and dinner with a bar that is always open late.
'Hope this helps...