The Hotel Kaiserhof is extremely convenient, being just outside the train station. It's also only a short walk into town, although you will need a map to find the route. You will also need a map to find your way around the hotel, which absolutely huge. There seemed to be far more rooms than could possibly be supported by the small tourist crowd coming to the town, so I guessed it must be spare capacity for the occasional conference.
The service was pretty good, and at 46 euros a night including breakfast it was very reasonable. The staff were friendly and helpful, and the soundproofing was good enough to muffle all of the noise from the nearby high-speed train line.
Directions: It is almost impossible to miss. Just walk out of the station and take a left.
Am Michaelisholz 115, Naumburg
Michaelisholz 115, Naumburg
Bahnhofstr. 7, Naumburg
Henne 1, Naumburg