I went to a gig at the music hall that's next to the stadium a couple of years ago, and yeah it's quite a way out. But the transport system over there is pretty straightforward, and there's a tram/train stop right by it.
You can get cheaper places to stay if you pick somewhere out of the centre but near a metro stop. I'm not being much help here, sorry! We had a 2 night stay btw, and had a blast (and didn't do any sex or drugs either, so it is possible!)
I think we were at the campanile hotel, it's about £50 per night (that's for a double not single). But i think you guys want to be able to roll in drunk or high and not have to travel, yes?!
But for normal (hey what do you mean boring?!?!) people it was cheaper to travel to your room :)