The door to your room should be kept locked. All locks on your door should work. If not, insist on another room. Do not open your door if someone you do not expect wants to enter, even if they say they are hotel staff. Call the front desk and check their identity.
Select a room above second floor but below the tenth. This will make access from the outside harder but fire emergency equipment can get to you if needed.
Keep windows locked at all times if you must stay on first floor.
Memorize the fire escape route from your room. Count the numbers of doors from your door to the door leading to the fire escape.
Ask for an extra key-card to carry on you at all times. If you leave the room in a rush, for instance if the fire alarm sounds, you will probably forget to bring the card with you and you might urgently need access to your room if for instance the fire escape is blocked.
Bring a torch and keep it handy.