Considering Pension S is in very expensive Denmark, the price at 620DKK for a private room/bath is a decent deal and I would recommend it as a good "budget" option. The room was immaculately clean, though less than attractively decorated (standard Danish shower "corner," very basic furnishings, a few tiny pictures on the walls that possibly made the place look worse). But you're not in Bornholm to stay in your room, so it's perfectly fine for sleeping and getting ready. The included breakfast buffet was quite good (some meats and cheeses in addition to the standard carb-fest continental breakfast). Know that there is no wireless access at the pension.

The area: Bus station is nearby if you are doing public transit. Hammershus is walkable (about 25 minutes). Our hosts helped us out with maps and suggestions on where to eat. A great burger bar near the beach, quite a good deal! Also a nicer restaurant called Ella's about 5 min away was very good and cozy-- get the lamb, really tasty.