I usually stay at one or more hotels a week in the course of my work (I was in three last week, for example - one in Vancouver, BC; one in Columbus, Ohio; and another in St. Louis, Missouri).
In these hotels, I've experienced a wide range of comfort, hospitality, amenities, etc...but I've never had a haunted hotel room.
Here is a link to a spooky one, which I found on one of my favorite hotel sites, HotelChatter.com. They posted a great snippet on the Stanley Hotel in Colorado, which is supposed to have been the inspiration for Stephen King's "The Shining."