The Shack Up Inn, Clarksdale, Mississippi. Quite possibly the coolest place I've stayed on the planet. It's not for everyone - and they know it (they even make it quite clear on their website in the most amusing FAQ's I've ever read) but it's the best value, and the best overnight experience you're going to get, that side of the Mississippi (I've always wanted to say that - but never had the opportunity!)
The Shack Up Inn has a variety of shacks for a visitor to the birthplace of the blues to rent - all between $65-$95 a night depending on the day of the week or time of year (lots of music festivals in the area). You can choose between the Fullilove Shack, the Cadillac, The Electric Blue, The Tinth - and many more. We stayed in the Robert Clay - named after the original owner of the Plantation on which the shacks reside.
The property also has a bar on site - serving local brews such as Magnolia Brewery - Pecan Beer. Yup. It's as yummy as it sounds. The bar also features live music and serves locally made donuts and coffee every morning for breakfast (included!)
We were there on a Monday - which is a fairly quiet night for Clarksdale - but the Hopson Commissary - also on the property, still had live music and was open late.
It was such an amazing experience - I wish we'd stayed longer, we were merely passing through - next time we'll make it a full stay. Though we loved Clarksdale so much I want to buy my own shack and move in!