My worst hotel stay was in Moscow, Russia. When we were first there, we stayed at 2 different 5-star Marriots. These hotels were lovely in every sense of the word.
In order to finalize our adoption, our coordinator told us that he wanted us to stay at the Belgrad hotel because it was closer to the US Embassy. The Belgrad is a 3-star Russian hotel. Russian stars are far different from American stars, BTW. We kept protesting this hotel. There was a 5-star European hotel across the street and there were other hotels also close to the Embassy. Our translator kept telling us how nice the Belgrad was, plus it was only $120 per night compared to the $300+ to stay at the other hotels. We kept insisting that we didn't care how much things cost. We finally gave in because the other family that was with us said they could stand to save a few dollars.
When we got to the room, it was like something straight out of The Brady Bunch. While clean, it was awful. The windows of our 9th floor corner room were filthy. I actually have video of the area and through these grotesquely filthy windows. The only English speaking channel was the BBC's version of headline news. That's fine for a while but it gets boring watching the same show every 1/2 hour.
Since we were leaving the next day, we decided to go to bed at 9:00. Around 9:15, the couple in the next room started <ahem> making noises. My DH and I were giggling like school girls. If we could hear them, they had to have heard us. When they were finished

we thought about applauding them. That's when Round 2 started... then Round 3... then a shower and Round 4. We figured that they either weren't married or there was more than one man in the room.

For all of the cheap places I ever stayed in college, I never heard anyone in the next room.
Anyway, more on the Belgrad. They had breakfast included in the cost of the room. We went to see what they had. It was typical Russian fare, done cheaply. My DH took one look at it and went across the street to McDonald's. The kids and I were able to find things that were edible.
When we were checking in, there was a guest comments book displayed. We started to thumb through it and everyone's comments were similar. "Run! Fast and far from the Belgrad!" "This is the worst hotel in which I've ever stayed!" and on and on like that.
The only other hotel that was a horror story was in Colorado Springs.
AAA had it listed as a 3 diamond hotel and it was cheap. DH and I were just married and we couldn't afford to prolong our stay after a conference at the Broadmoor. When we got to the parking lot, our rental was the nicest car in the lot. DH said we should leave immediately. I said that they already had our cc number, and maybe it was nicer inside than out. From checkin to checkout we took about 5-minutes. The room was very dirty and smelled.
When we went back to the front desk to tell them that we were leaving, the woman at the desk asked if we had used the beds. I told her that if we were going to be that quick about things, we'd have stayed in the car.

I told her I didn't want to step on the carpeting let alone get on the beds. We drove up the highway and found another inexpensive hotel that was at least clean.