An issue I have run into quite often is if they have a switched outlet and I have a habit of turning off the switch on the way out. Many times I find the lamp is plugged into a full-time outlet and not the switched outlet. People (guests and/or housekeeping) mess with the wiring and you never know what you end up with.

Otherwise, there is the possibility the plug is defective or wired wrong and not providing a full phase (hot, neutral, and ground). Trying different plugs in the room, if possible, may help.

When first reading this thread I flashed upon a HUGE dimmer switch in the back room for use on very hot days.