The Durango Lodge (formerly the Travel Lodge) is just up the street from the Depot to the right. If you go around behind the theatre, youre right at the roundhouse.
My favorite place was the last room at the rear on the second floor of the old Palace Hotel, which is now part of the General Palmer House. The window looked right at the North end of the Depot, and the view out the front door looks right down on track #1.
I've heard they did some more remodeling, and that those rooms are suites now, and very pricey. If you call the Palmer House, be sure the clerk knows you are asking about the rooms in the annex next to the Depot. If you get that West End room, you'll feel like you're right there, because you are. Any closer, you'd have to have a sleeping bag.