Calvin allegedly took piano lessons. In the final strip of the swimming lessons story arc, Calvin complained about his lessons during the car trip home. When he wondered why he wasn't taking outlandish or inappropriate lessons (such as sharpshooting, hang gliding and driving), his mother informed him that she had signed him up for piano lessons, which were to begin within a week. In tune with his personality, Calvin burst out in protest.
Calvin's mother is known to use sarcasm, particularly in early strips such as this one. As such, the piano lessons may have been fictitious which explains why Calvin is never seen taking them.