Hey, is this the same Hatch that I know from the Adobe XChange boards?!?
OK, OK, I will stop digressing now...
A couple of questions for you.
1) How are you showing the dates to begin with? Is this a monthly calendar, weekly, etc.?
Unless you are dealing with thousands and thousands and thousands of records, the looping query won't be as bad as you think... especially if you index your data properly anyhow.
One way I did things on a calendar script I wrote was to just count the number of events for a day, and reporting that (if it was greater than 0, and then when the day is selected, the events are shown. (You still get a lot of queries, but all you are doing is counting them based on the date, and with the date field indexed, it didn't slow down at all.)
You can simplify your code by looping through the days too, so you don't have to hand write the queries for each day (but I am sure you knew that)
Anyhow, good luck. Post some code, so we can take a looksie.