The company toured extensively in the early twentieth century, including appearances in Barcelona. Pablo Picasso designed their ballet 'Parade', making them the first company to have sets and costumes inspired by cubism. They were a truly innovative company led by the enigmatic Sergei Diaghilev, and shocked the world with their bold sets, costumes, music and choreography. I won't bang on too much about them as you can find out more all over the internet or at your local library.
The Caixa Forum is well worth a visit itself for the architecture and history, and exhibitions are usually free, so even better.
I managed to get some pictures but they don't do the fabulous costumes justice, make sure you get to the exhibition if you can.