When I first enter a hotel room, I become a man on a mission. I conduct a multi-point bed bug inspection process that starts with the bed sheets, continues to the floor, and ends at the nightstand. I picked up this process from an MSNBC article, and I'll pass on some of the finer points so you don't fall prey to the blood-sucking creepy-crawlies:

• Pull back the bedsheets and look for reddish-brown, oval, wingless bugs that are about 4 to 5mm long. (Reference image from Wikipedia)
• Check the mattress in addition to the bedsheets. The mattress seams and mattress tag are common places for bed bugs to hide.
• Examine the headboard and floor behind the bed. Look for small black stains that could be bed bug excrement.
• Peek in the drawers of bedside tables. Bed bugs infest all types of furniture, so some may be hiding in there.
• Keep your luggage off the floor with a luggage stand if possible. This helps prevent bed bugs from hitching a free ride back home with you.

Some believe that bed bug populations are on the rise, so it's a good practice to give a hotel room a once over just in case. After all, if some stowaway in your luggage, they could start a colony in your home! Though, if that does happen, you might want to read the bed bug Wikipedia entry. It details how to deal with an infestation.

I also recommend this bed bug study from University of Kentucky Entomologist Michael F. Potter. It has great, gross-out pictures of bed bugs and bed bug excrement for reference!