Yes, a few times. However, you have to go there expecting to spend $60 - $100/person, if you want to do it right, so it's a little costly.
Over here the most expensive steak there is about $30. I don't imagine it's that much more expensive in Winnipeg, so what do you mean by "if you want to do it
right"?
As far as my experiences go,
Hy's is the best steakhouse in the world. You should try it if it's in your town, although they are fairly exclusive and rare in comparison to The Keg.
Edit: iago may be able to get to one
Hy's Steak House Winnipeg
One Lombard Place, Main Floor Richardson Building, Winnipeg, Manitoba R3B 0X3
Ph: (204) 942-1000 Fax: (204) 947-3588
General Manager: John McMillan