In Edmonton:
White Knight isn't a bad FLGS for used materials (and is the only one that sells used materials I know off), it's on whyte avenue(82nd ave) between 103rd & 104th streets(or Gateway boulivard & calgary trail) on the North side of the street. They open at noon I believe.
On the same street is the Wee Book Inn a used book store that occassionally has RPG materials.
For Non used materials there are quite a few stores(3 chains actually):
Warp1 is on 99th street & 82 avenue on the south side of the street, right at the corner of 99th street. They have a pretty large selection of RPGs, CCGs, comicbooks, magna, action fiigures and paraphanalia. There is also a Warp 2 (132 ave(I think) and 97th street) and a Warp 3 ( in millwoods towncentre (a decent sized mall)) with similiar selections, Warp 2 & 3 also carry gamesworkshop product.
Happy Harbour Comics runs three and a half locations: volume 1 (124 street and 102nd ave), volume 2 (Manning Crossing), volume 3 (81st ave between 103rd & 104th street) They generally have better service, but worse selection in my experience, they do also carry a fairly wide variety of boardgames however.
Wizard's Comics & Collectible's runs 2 locations in Edmonton(plus 1 in the suburb of Sherwood Park): 65th street and 28th avenue (in a shopping centre) and 109th street and 87th avenue.
There is a Gamesworkshop store in Kingsway Garden Mall(there is no garden

) It's roughly 112th ave and 106th street.
There is a FLGS store called the Adventurer's Guild that just moved to the west end, but I wasn't overly impressed with their pricing when I popped in before the move.
There are two stores in the Suburb of St. Albert that might bear a mention: Mission Fun & Games has a huge number of board games (even hard to find ones) as well as a respectable amount of RPG, CCG & miniature stuff--don't know the address though. Thunderground Comics is also somewhere in St. Albert, but i've never been.
There are probably more I don't know of or are forgetting but that's quite a few.
As you can see there are quite a few stores clustered around 82nd(Whyte) ave. That's due to it's proximity to the university I would think, it's probably your best bet with 4/5 stores (if you count the bookstore) in walking distance as well as some interesting non-gaming shops.
If you get a chance I recommend getting a muffin at the BeeBell Bakery(I'm probably spelling it wrong), they are a tad expensive, but huge and delicious. It's on 104th street and 80th ave, on the 80th ave side, just behind the ATB(Alberta Treasury Branch) building.
Don't know anything about Calgary gaming stores, sorry (their zoo is worth a look though).