We really like it when people use the hotel to stay in, because it helps us meet the number of rooms we promise the hotel we will fill, thus getting us the cheapest rate. Otherwise, we have less money to spend on guests, prizes, tv and game rentals, etc.
But, really, a lot of the fun is had hanging with friends in the hotel. I have a great time wandering around and seeing what people are showing on their laptops. (You meet people this way!)
My experience is, it's a lot more convenient if you need to change costumes, take a nap, store an enormous prop, etc. My first con I ran back and forth, and missed out on some of the events. Next time, I had a room, and could change outfits, get soda, make oatmeal with the coffee pot, what have you. But there is no rule that you must stay at the hotel.