There is a surprisingly wide variety of accommodation in Riohacha. The most expensive places tend to be located on the ocean, which a series of slightly dated mega-hotels. Rooms here can run up to 200,000 pesos in the high season. Expect discounts of up to 60% in the off season or for rooms that do not face the ocean.
On the cheaper end of the scales, rooms get be had for as little as 15,000 pesos at small bunkhouses and guest hostels further away from the ocean. Try just east of the bus station. Be warned that many of these places cater to internal refugees displaced from Colombia's long drug wars. You will probably be sharing with some mostly friendly long term guests.