The Prices and Quality of the Hotels in Montauk vary, and you need to be careful about where you stay, as there are some real blasts from the past.
Check out this site as it has all the info you will need about where to stay
If you are coming in by boat, you can get a slip for the night, or a few, at Star Island Yacht Club, West Lake fishing Lodge (352 W Lake Dr Montauk, NY 11954-5104, (631) 668-5600) or Montauk Marine Basin