Canmore is a good option too. It is very close to Banff and Sunshine as well, and is growing quickly. Canmore is right outside the park - like on the park boundary. It is still expensive, but not quite as much as Banff. There are plenty of hotels, motels, timeshares, hostels, etc.
I live in Canmore and it is also full of ski resort staff.
Paolo - it would be easier to point you in the right direction for accomadation in Banff if you were a bit more specific as to what you are looking for...
how much do you want to spend?
Before I moved to Canmore I always stayed at the Sunshine Inn - now called the Sunshine mountain lodge. It is inexpensive, and it is the only ski out hotel in Banff park. It is right in Sunshine Village, and you get first tracks every morning. If you are into nightlife, its not the place to be. Hotel is accesible only via gondola, which doesn't run at night. Also food at the hotel is crazy expensive, and the rooms dont have fridges.