It's a big doin's Good rodeo. Parades, Air shows, Night shows. you name it. Parades are fun. Lots of stuff going on all day and most of the night. Carnival behind the stands. Things are expensive, but what isn't anymore?
If you plan on staying over night you better get reservations now if it's not already too late. You can stay in Ft. Collins, Greeley and even Denver if you need to.
Google Cheyenne Frontier Days for a lot of info.
I got bucked off of some of the finest bucking stock in the world there 50 years ago.