There is no shortage of ski rental shops in Banff. It can be somewhat overwhelming to figure out which one has the best skis for your money. We were very happy with our choice of Breeze Ski. It is located inside of the Glacier Shop, which is a trendy ski shop that sells clothes, skis, goggles, etc.
We arrived to pick up our skis on a Sunday, late afternoon. It took us 2+ hours to get our skis! There was someone in front of us who was trying on skis to purchase, so that absorbed much of their attention. There were only two guys working, so we ended up spending a lot of that time waiting. However, once we did get served, they were extremely attentive to every detail. My friend who has his own skis says that they spent more time fitting our boots than they did with his that he had bought!
My right boot ended up being too small and really hurt my foot on the first day that we skied. I brought it in on Monday (and the shop was much less crowded) and they refit me. Other than that, we were very happy with all of our equipment and the service that we received. We got the recreation skis (the lowest level). You can also demo skis, but those are fairly expensive. Their pricing is constant -- you do not get a discount for renting multiple days. I got sick the last day and they took back the skis and gave us a refund (you pay up front), no questions asked.
We highly recommend them (although don't go late on Sunday!). And they are conveniently located right off of Banff Ave. For more information, go to their website www.breezeski.com.