I usually try to stay in the Novotel which is about 10 minutes walk away though not through the best part of Cardiff

It's also a bit pricey but there's a budget hotel from the same chain right next door; I can't remember which brand it is.
The Marriott and Holiday Inn and Jurys are right in the city centre 5 mins away from the stadium and they're fine too.
Or you could stay at an out of towner and get a cab to/from the stadium - the Copthorne is quite good.