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Stephen Charles & Lauren Bowler in Firehall Arts Centre's Chelsea Hotel: The Songs of Leonard Cohen, as Part of the 29th annual High Performance Rodeo.

Calgary's High Performance Rodeo kicked off this week – an exciting multidisciplinary arts festival with edgy theatre, dance, multimedia and comedy offerings. The Globe and Mail's Western arts correspondent Marsha Lederman suggests taking in these five shows before the festival wraps up on Feb. 1. (But see more, if you can.)

1. Chelsea Hotel: The Songs of Leonard Cohen

Tracey Power's inventive and ingeniously creative work uses Leonard Cohen songs to tell a story of heartbreak and the struggle faced by writers. Six performers play 17 instruments and bring the story to life. When I saw the premiere in 2012, I was knocked out by musical director Steve Charles's extraordinary and surprising arrangements (a wacky I'm Your Man; a raunchy, rocking-out Hallelujah) and some virtuoso performances.

Playing now through Jan. 11 at the Max Bell Theatre

2. What The Thunder Said

With inspiration from T.S. Eliot's The Waste Land, One Yellow Rabbit – the Calgary theatre company behind the HPR – has teamed up with legendary theatre director Peter Hinton to create a triptych examining the first quarter of the 20th century – in particular the aftermath of the First World War and, 100 years later, the parallels and echoes that persist. This is its world premiere.

Jan. 13-30 at Big Secret Theatre

3. Untitled Feminist Show

The five-second description of Brooklyn's Young Jean Lee's Untitled Feminist Show goes something like: six women perform onstage in the nude in a nearly wordless show. The program calls it a "visceral exploration of varying feminist paradigms" and "an energetic meditation on issues of gender in our culture." Reviews have been mixed. The New Yorker called it "moving and imaginative"; The New York Times and The Globe's Kate Taylor (she saw it at the Harbourfront Centre in Toronto last year) were less impressed. But if you're willing to invest an hour and a bit immersed in the work of one of New York's hottest playwrights, what an experience.

Jan. 15-18 at Theatre Junction Grand

4. Tanya Tagaq in Concert with Nanook of the North

I do not exaggerate when I say the most exciting night I have spent at a theatre in recent memory was watching Tanya Tagaq vocalize live improvisations to the 1922 film Nanook of the North in Vancouver last year. The performance – with violinist Jesse Zubot and percussionist Jean Martin – serves to reclaim the controversial film, but it is much more than an angry confrontation with stereotypes. It is complex, explosive, gorgeous and unforgettable.

Jan. 17 at the Boyce Theatre

5. The Keith Richards One Woman Show

In this one-woman show, Deanna Jones is Mona, a fan obsessed with the Rolling Stones guitarist. This tribute takes the audience on a trip through Keith Richards's life as Ms. Jones transforms into a variety of characters, including Mick Jagger. She is accompanied onstage by a live rock score played by Kevin Richardson.

Jan. 27-31 at the Royal Canadian Legion #1