I'm brazilian and absolutely love Rio even though I'm not from there. I agree with Copacabana Palace. Also Pestana is a great one as well and is just a few blocks down.
Aside from those it depends where you would like to stay, do you want to be close to shopping, restaurants etc. Copacabana to me is very touristy. I used to be a fan but now I prefer Barra da Tijuca or Ipanema.