The hotel building is a former prison, but don't be alarmed, the hotel is very decent. On Saturdays, very often the staff dress up as convicts and overseers and fool around while entertaining tourists.
The embankment is 5 minutes walk (especially convenient for those who want to take a ferry to Stockholm or a rocket to the Baltic cities). To the center on foot 15-20 minutes, along shops, cafes and restaurants. Fairs are often held on the embankment, where you can buy many different souvenirs and try freshly caught fish, which is cooked in a nearby tent.