I found one on my pillowcase right as I was falling asleep at a brand new national chain. I captured it in a cup and bag and brought to front desk. Was given a new room and in morning spoke with manager. She confirmed it was a bed bug and refunded my room. I stripped naked in garage at home and everything I had with me was in downstairs freezer for weeks. This was a nice hotel. I'd rather not mention the chain but was a $150/night room or so. Manager said she wanted my business back and to call her next time through. Well 8 months later when I was back in town they were top ranked hotel in town and rates were $225/night.
This can and does happen in all kinds of hotels. I spend a lot of nights in hotels and since that night I hardly ever sleep as well.