Yeah as mentioned if you're on a budget stay a bit further away. I've been twice, the first time I stayed at Fresh Hostel up on W95 street, was about $30 a night, a couple of blocks from the subway which was about 6 stops from Times Square.
The second time I stayed at The Wellington which is next to Carnegie Hall, you can walk to Times Square in about 15 to 20 mins. I paid £550 for flight and accomodation for 4 nights there in March.
If I go again I'd look to stay around the west/greenwich village, so much nicer than the hustle and bustle of Times Square, better places to eat/drink etc.