In Calgary Victoria Day is often called "The May long weekend". Traditionally it marks the start of the summer camping season and usually the weekend to get plants into the ground. By the May long weekend the danger of overnight frost is usually past but not guaranteed as there have been May long weekends featuring snow.
Stuff going on:
Victoria day also marks the opening weekend for Heritage Park.
Tweed Ride YYC is scheduled to take place on May 18, 2015
Bicyclists of all levels are encouraged to dress in tweeds and explore the city in a leisurely fashion.
For more information head on over to tweedrideyyc.com
Fort Calgary celebrates Mountie day. The founding of the NWMP (North West Mounted Police) on May23, 1873. Activities and birthday cake.
Calaway Park opens for another season on the Victoria Day long weekend.
The Little Britches rodeo should be on. (located in High River)
Stars on Ice will be in Calgary on May 17th at the Scotiabank Saddledome.
The Banff Centre Children's Festival offers many activities. For further details see banffcentre.ca
I haven't been able to find any scheduled fireworks, however most years we do hear them going off. Of particular note, in Calgary family fireworks are a no no. Sale & use of all fireworks are regulated by the City.