If you booked through a third party website like Expedia, you would definitely need to cancel.
My BF made a reservation through Expedia and when we got to the hotel, we were offered a cheaper price of about 20 dollars a night. So he agreed. Only to find out both Expedia AND the hotel had charged his credit card.
We were not happy campers, especially since the $20 cheaper room meant we were facing a bar. And while we were able to remove the hotel's charge, we still had to pay the Expedia price but couldn't move to a new room.
*grump*