It's precisely because of the prices in cities like Chicago, New York, etc, that I collect as many points (and occasionally free night certificates) as I can in as many hotel programs as I can (not just one or two!). If it's a personal stay in one of those cities (and if it isn't, wouldn't work be paying and thus exact price not matter?), I tend to do point (or cert) stays, rather than gulping and swalling a high cash price. I do my paid stays (on which I earn the points and certs) only in those locations where I can find (through whatever means) qualifying hotels at prices I like.

(But sometimes even on points not all programs have a good redemption rate in a given location. So one of the reasons I collect in lots of programs is because for one city, program A may have much lower point requirement, while in another city, program B may have much lower point requirements, even though both program A and program B have properties in both cities.)