Don't forget about the Sheraton Park Tower down the street (not to be confused with the Sheraton Park Lane - a seriously run down property). It's about a 2 minute walk to the Knightsbridge Tube stop. I've stayed at both and each has its unique qualities. Service is definitely better at Belgravia, although I find the beds significantly more comfortable at the Park Tower. To be quite honest, you can't go wrong with either.