This would be a good example of when to use the core (part of the base Drupal software) Taxonomy module. With Taxonomy you can set up one or more lists of terms that describe some or all of your nodes. For example, you can have a list of locations, a list of amenities (pool, sauna, golf course, etc.), and a list of price ranges (low, medium, high).
For each hotel you can select a location from the locations list, one or more amenities, and a price range. Then you can select all of the hotels that match one of the lists, using a neat feature of Taxonomy where it will return a list of those nodes.
The lists of terms are called "Vocabularies", and you'll want to create a vocabulary for each list. Go to Administer -> Taxonomy -> Add Vocabulary. Give it a name, like "Location" a description if you'd like, and choose the content types that it should be allowed to be associated with. (In your case, the hotels should probably be a custom content type that is different from the Page and Story types, but for trying this out, just pick Page for now.) There are several checkboxes at the bottom to decide on: Don't check Tags or Multiple Select, as these allow free tagging by users (images users making up city names) and also allow a node to have multiple locations. Do check the Required checkbox, as each hotel should have one.
Click Save and then click Add Terms on the vocabulary list page, and add a few locations. Then create a few hotel nodes (Pages for now) and you'll see that there is a new section in the Create Content page that is a dropdown selector that contains the locations. Choose one for each hotel, and add a few hotels in the locations that you just created.
To select the hotels for a given location, you will need to know the path associated with each term. Go back to the Taxonomy admin page and choose List Terms for the Location vocabulary. On the Terms in Location page you can get the list of hotels for a location by clicking on a location's name. The resulting page's path (e.g. example.com/taxonomy/term/2) would be what you'd use in your menu for that location. Each location will have its own term number that would be at the end of the path.
This is the simplest way to use the Taxonomy module, but it works really well with other modules like Views. Using Views you can control the format of the list of hotels for each location.
For more information, see the Taxonomy documentation and especially this sub-page called About Taxonomy.