When I have been there, I stayed downtown once, in La Choumine condos once, and the Village Center Inn once. La Choumine is small but quite nice, a short level walk from the lifts, but not quite ski in/out.
VCI is right next to the tram, but older, quirky, a little beat up - still liked it a lot. I'm not sure what the VCI status is -- they were going to tear it down and build something luxe, but the mortgage meltdown may have saved it.
The Hostel (formerly Hostel X) and Best Western are very central. Alpenfof is central and mid-range (great bar and restaurant). Most of the rest of the truly close lodging is very nice and very expensive.
Beware shuttle-bus land. The real estate listings include it as "Teton Village".
As I was grabbing this, I noticed that Google Street View now covers Teton Village very thoroughly - you can probably see exactly where you would walk between any lodging and the lifts! (Ooops - fine print. Most of the images are from 2007.)