As well as using a VPN, the safest option if using wireless would be the extra security offered by Wireless Protected Access (WPA). As the security protocol of the Wi-Fi Alliance it’s the best out there (see http://www.wi-fi.org/). Some but not all wireless providers offer the option to select WPA when you log in, for no extra charge.

To fink’s comments on wired connections – any other person within the hotel building could in theory intercept your connection if it’s not properly protected (not just hotel employees). You need a provider like iBAHN who offers a fully secure system, even between rooms, to be sure your data is safe.