If your on a tight budget try staying at the Spring Hill Suites in Newark near the airport.You can take a shuttle to the PATH train that will take you to either World Trade Center or 33rd and 6th. A nice roomy hotel with two beds and a pullout, 150 bucks or so. Will cost you 50 minutes a day in commute time and about 5 bucks a person.
If you want to really cheap, Hotel 31 is a hotel on 31st street near park ave (not far from MSG). Bathrooms are down the hall, but there is a sink in the room. Cheap hotel, but a good location (walking distance to the Murray Hill/3rd ave strip of bars, close to the 6 train).
If it's your first time to NYC, look for hotels around Times Square. You'll find cheaper hotels elsewhere in Manhattan; but unless you know what you're doing, transportation can be time consuming and/or costly (e.g. taxi rides).