Hotel The Exchange is a fantastic (if somewhat hard to find) hotel right on Damrak. It is incredibly close to the train station (and by extension, the very helpful tram lines) and is also close to the red light district and Dam square.
The rooms, designed by local art and design students, are interesting and pleasant, and you can choose from a 1 to a 5 star experience. My wife and I got a 1 star room for the night and were very pleased with the comfortable bed, the cute (if small) room, and the clean bathroom.
All in all, great value and great location. Would definitely stay again.