Founded by local artists Catharine and Peter Whyte, the century-old Whyte Museum is more than just a rainy-day option. It boasts a beautiful, ever-changing gallery displaying art from 1800 to present, by both regional, Canadian and international artists, many with a focus on the Rockies. Watch for work by the Group of Seven (aka the Algonquin School). There's also a permanent collection telling the story of Banff and the hardy men and women who forged a home among the mountains.
Attached to the museum is an archive with thousands of photographs spanning the history of the town and park; these are available for reprint. The museum also gives out leaflets for a self-guided Banff Culture Walk.