I had to a few times, mostly earlier in my career (and it was interesting that only the women were asked to share a room...) and will never do so again. I don't even share a room anymore with friends when on a "girlfriends" weekend trip -- unless it's a 2/2 suite
On two of the occasions when i had to share a room, I was stunned by the lack of consideration of my "roommate." The first time, the gal I had to share with got roaring drunk every night and would stumble in around 3 am. To make matters worse, on the last night, apparently she was buying drinks for everyone in the bar and charging them to the room -- which was in my name -- and I was asked to explain the bar charges on my expense report!
The second time was actually worse -- and more recent, only around 5-6 years ago. I had just joined a new company and when i arrived at my room for a company retreat, was stunned to walk in and find the company President (also a female) in the room. They had not even done me the courtesy to let me know the two of us would have to share. Moreover, she was a heavy smoker and I am violently allergic. But the worst of it was that she was on the phone till around 2 am, and sending files through dial-up modem till around 3. I got zero sleep and found the entire situation very uncomfortable.
And you know something -- looking back,there was a correlation between the overall business practices and employee treatment at those two companies.
I agree 100% with the earlier poster who indicated it is an unreasonable invasion of privacy and totally crosses the boundaries of what should be considered appropriate to ask of employees as a cost-cutting measure. There is a huge difference between setting limits on hotel class/rate vs. expecting you to dress/undress and sleep in a room with a co-worker.