There's nothing more convenient than taking the elevator downstairs to the bar and then coming back up to your room with a date without ever leaving your hotel. It might be interesting/useful to put together a list of these. I'll get the ball rolling, and hope others will add info.
Real Hotels with Bars where hookers hang out:
Dallas - Ritz Carlton Hotel (Rattlesnake Bar) - never more than a few here at any one time.
New York City - Baccarat Hotel (The Bar) - not much of a selection, but better than the Ritz in Dallas
Singapore - Grand Hyatt (Brix) - best place for high class hookers in Singapore. This is the United Nations of hookers, you can have your choice of women from about 15 countries on any given night. If you're in Singapore don't miss it.
Bangkok - Grand Hyatt Erawan (Spassos) - expensive for Bangkok. Good selection. Women are a little older and much better dressed than average for Bangkok
Panama City, Panama - Veneto Hotel Casino - Pretty good selection, although not as good as Habano's Bar across the street from the Marriott. The Veneto is getting a bit worn and they will charge you extra for taking a date to your room
Panama City, Panama - Trump Hotel Casino - Selection not nearly as good as at Veneto.
Hotels where most guests are there to get laid:
Tijuana, Mexico - Hotel Cascadas (Hong Kong Gentlemen's Club) - Hong Kong is legendary, World class
San Jose, Costa Rica - Hotel Del Rey (Blue Marlin Bar) - Another world class venue. Hotel rooms are noisy, and they charge you a small fee to take your date to the room.
San Jose, Costa Rica - Sportsmens Hotel bar. Not as good a selection or quality of women as the Del Rey, but a better hotel
Jaco, Costa Rica - Hotel Cocal (Pool bar) - Arguably better than the Del Rey, lots of hotties
Jakarta - Malioboro Hotel - OK, I wouldn't actually stay in this hotel, the rooms aren't really made for sleeping. But they will accommodate you and provide hotel services. There are a number of places like this in Jakarta, licensed as hotels, because brothels are illegal. Malioboro is the best, with multiple floors of whores. They have a spa level, one level with foreign hookers, a gentlemen's club, and lots of Indonesian LBFM's.