Go to a thrift store. Find a leather jacket that fits you. A lot of them will have thick liners. I've got one that sadly doesn't actually fit me that I have mentioned before, I don't even need to wear layers in extremely cold weather as long as I zip and snap it. It cost $10. Surprisingly, I have seen a lot of leather jackets at the thrift stores recently, maybe it is people taking them out for the winter and finding they don't fit anymore.
Also, layers. Long underwear, fleeces, microfleece, wool, layers keep you warm better than one garment and you can add or remove them as you need to. And make sure to get a hat, a lot of heat escapes from your head. Avoid cotton wherever you can, cotton takes a lot longer to get dry, and it drains heat when it is wet. Wet wool may be as unpleasant as hell to wear, but it keeps you warm anyway. And if it isn't the bottom layer, you won't notice.
How cold does it get in Banff? I've never been north of Wyoming in the winter. If it is a ski town, at least it should hopefully not be as windy as some of the plains are.
Mostly, I just suggest thrift stores and army surplus shops for cheap winter clothes. It won't be the most styling, but you are in Canada. Nobody will notice. And at least it isn't neon purple like a lot of older winter clothes (oh you wacky '90s). Although you still do find some of those at the thrift stores.
It is a shame you didn't mention this before you went through Wyoming, because
http://www.sierratradingpost.com has two outlet stores in Wyoming. If shipping isn't too horribly expensive, they tend to have pretty good deals on winter wear.