Just came back from a quick 2 day trip to Cappadocia. On the advice of GBSahne, I decided to brave the Cappadocian winter, and I'm glad we did (despite the cold and the sunburn from the snow

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We stayed at a really wonderful little hotel in Urgup called Temenni Evi (House of Wishes). For those of you who know the town, it's located at the top of the rock pile in the middle of town, right next to the Temenni view point. Great 360 degree views.
The hotel itself was an old mansion that has been renovated - it took the owners 3 years to do all the work - and the hotel has now been open for 15 months. Really stunning little boutique hotel. We stayed in a fantastic room, huge with a vaulted ceiling, fireplace and skylights in the ceiling so we could lie in bed and watch the snow falling - very romantic! There are rooms in the main house, and also deluxe rooms outside around the courtyard that are partly in the caves and partly made of local stone. There is even a 'secret' passageway under the hotel that ends up at a very romantic table for two in a small cave with a view over Urgup town.
Food was also good. Breakfast was basic Turkish stuff, but the jams are all homemade and the olive oil home pressed. We had dinner there 2 nights and the food was first rate. Nothing too fancy, but very tasty and just what we wanted after spending the day out in the cold.
The owners are very thoughtful - tea with homemade biscuits were served while we waited for our shuttle back to the airport - and they made all our arrangements (transfers to and from airport - very cheap at 12 YTL per person one way, as opposed to 100YTL that I was quoted at other hotels - and tours in and around the area).
Price-wise, not a budget hotel by any means, but I think it was decent value (especially when I compare it to prices at other hotels in the area of similar standard). I liked the fact that they show all the rooms on their website so you know exactly what you're going to get. The bathrooms were modern and clean with loads of hot water. Most have jacuzzi baths and handmade linens on the very comfortable beds. I can honestly say that the bed in our room was one of the most comfortable I have ever slept in.
http://www.temennievi.com