Montana is great. I used to travel there every quarter, as I had the account for Kimber USA (the company I worked at when I was young was the national distributor here in Canada for their handguns and rifles). Kalispell is a nice little town.
Skiing in the winter is nice as well, every year for decades I would do one week at Whitefish, and a weekender at Red Lodge - Red Lodge mostly for the town atmosphere and cheap and fantastic food.
Like Calgary, the Chinook winds will hit parts of Montana in winter and give you a small break from the -20 and colder temps, but it's random, and not to be counted on, and it does get almost as cold as home for me, but I've had great outdoor trips in the heart of winter, both to hunt varmits and to ski, without it being too bad.
Large city life isn't really a part of the places I saw, that can be both a good and bad thing, but mostly good IMO. Prices - no idea so far as real estate, everything else seemed ok to me, cheaper than Calgary, that's for certain. Most towns were nice IMO, Helena included, but also Kalispell, Billings, Missoula, and others I've traveled to or through.
I'd move there in a second.