Personally I won't stay close to the airport - it is not a particularly nice area. It only takes 15 minutes in a taxi to centre of Milan at a cost of about 17 Euros. Bus is a lot less.

Milan itself is an interesting city and has plenty of hotels in most price ranges. I usually stay at the Le Meridian Gallia (but it is closed for renovations until December 2011). Choice depends on whether you are tied to any particular chain or have any particular preference for location.