I stayed in the Windsor Martinique in Copacabana. Hotel was fine & reasonable & close to the beach. I also stayed in the Rio International which is a beautiful hotel but not cheap. Rooms all seem to have balconies & there's a wonderful view from the roof. Breakfast there is the best I've seen in a long time.
I had a bad experience on my first day in Rio while walking on the beachfront. A guy came up on a bike & as quick as lightening grabbed a chain from my neck. I had been warned not to wear jewelery & luckily had left the chain I normally wear - which is much more valuable - at home. It made me nervous for the rest of my time in Rio though. Just be careful with your belongings.
I think Ipanema is a better looking area than Copacabana. Probably more expensive though.
Must sees include Christ the Redeemer statue & a trip up the Sugarloaf. We visited Niteroy which is a ferry ride across the bay. You get lovely views of Rio from there & there are little beaches & coves which are quite pleasant.