It is also worth checking www.hihostels.com because single rooms at some hostels (not all) can be a very good deal. My friend managed a trip where she stayed in a bunch of hostels during the off-season in smaller Spanish towns and cities and although she only paid for a dorm bed, every time they put her in a single room (because there were hordes of kids in the other dorms). I don't know if you can count on that, though!
Note I didn't mention any specific places, because in my experience the best deal totally depends on when you are booking, what hotels are offering special deals, when you are traveling, etc. That said, Lonely Planet and Let's Go have some pretty good recommendations, although I'd advise cross-checking their recommendations on the above sites and also on TripAdvisor.
I will mention one specific place, though - Hotel Julia in Rome. Their single economical rooms are a good deal much of the time, although I'm not sure about lack of air conditioning in Rome in August (if that's when you're there).
There are many good and cheap places to stay in Amsterdam. I think St Christophers, Stayok Vondelpark and The Flying Pig are the three that are most often suggested .
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