Last May I stayed 4 nights at the Hotel Axel (pretty much all gay):

http://www.hotelaxel.com

It was great.

Very modern design and renovation to an older building. The rooftop pool & hottub were a great way to cap a day of walking & sightseeing. Every floor has a little fridge built into the wall with free botles of water...a nice touch. I found the Axel to be well located to the main attractions, and literally in staggering distance to the bars & clubs.

I called it Barcelona's W at the time, but now it seems W is building their own. Axel will still be cheaper and in a better location.

In Rome I've stayed at both the St. Regis Grand and the Westin Excelsior. Not gay (but European!). Both hotels are excellent, with the St. Regis holding a special place in my heart because of how amazing both the hotel and my stay were. Either hotel is well located to Rome's attractions and I found the concierge at both to be very helpful to this traveler not too well versed in Italian.

In Rome, have dinner at Supperclub and a drink at Lot 87. Neither are "gay", but have diverse and cool crowds.