Well..not really necessary. If you arrive in a town and don't have reservations (like I did in October for Barcelona, Valencia and Sevilla) the train station is the first place to start looking for a place to stay.
In Sevilla, they had a real nice desk for accomodations at the train station. In Barcelona, I was lucky enough to find one of the many people offering pamphets for his hostal. These are a lucky find, because people hawking there hostals also offer all kinds of assistence for people arriving in a strange town, such as where to catch the bus and where to buy tickets for the bus/metro.
In Valencia I had the most problems, but got the best results. I simply left my wife at the train station with our luggage and walked around. The hostals near the train station were old and scary, but I walked around until I found a nice three star hotel, reasonably priced.
A couple of notes, the hostals that are closest to the train stations are kind of old and scary, but you don't have to walk over half a mile to find nice accomodations, or get a taxi. Also, not having reservations means that you must spend a little bit of vacation time finding accomodations.
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"I swear -by my life and my love of it -that I will never live for the sake of another man, nor ask another man to live for mine."