My Yellowstone favorites are both grand hotels, but they're very different.
The Lake Yellowstone Hotel, (tel. 307/344-7311): Try this recipe for a great vacation: a quiet drink in the sunroom overlooking the lake, a friendly meal in the big dining room, a walk by the lake, and then a comfortable bed in one of the big wings.
The Old Faithful Inn, (tel. 307/344-7311): As if the wonders outside aren't enough, this is an architectural gem, a cavernous lobby with an 85-foot-high ceiling and lodgepole balconies inside and out. Get a room in the old lodge, not the wings, even if the bathrooms are down the hall.