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Another vote for Hotel Berna. Great hotel and fabulous breakfast buffet. I don't go to Milan that often, I wish the Berna were in Rome or somewhere I go more often as I love to stay there.
There's a Hilton within a very short walking distance. It's awhile since we were there so don't know prices... dont know anything about point programs etc.
If we are talking "close" as THE "important" factor the Excelsior is directly across the street from the station but it would be cost considerably more than the others mentioned.
Hotel Berna - cross the piazza in front of the train station, cross the street, walk one half block. I don't see how something could be much closer than that.