There shouldn't be an issue-it's just like any other business address.
When I've flown to watch shows, I have Fed-Ex overnighted my more valuable pieces to the hotel. It beats having a TSA agent opening and flashing $20K worth of stuff in a briefcase for everyone to see(I've been denied a private room before) when they see 40 pocket watches and have no idea what they are on the X-ray.
In any case, the best thing you can do is contact the front desk if you're at the hotel or contact them ahead of time and ask about their general policy on deliveries. I've never had decent hotels have a problem with it.
Ask for how they want things addressed, but the general format is
[Hotel Name]
Guest[Your Name][Room # if known]
[Street Address]
[City][State][Zip]
They will receive, keep it at the front desk, and call you when it's there.