It is way off the main route but you must go to Bundi. Because this small medieval town is so off the standard tourist route, it is rather unspoiled. No one bothers you (except maybe for 1 guy who tries to be your guide around the fortress) a large part of the town consists of alleys, too small for cars and as most towns in Rajasthan, it has a huge fortress, part of which is a museum. Inside the first gate of the fortress is also a simple hotel. The staff cooks great vegetarian meals and dinner is served on the fortress wall, providing a beautiful view over the town and the countryside.
If I remember correctly there was no place in town to change money and there was no ATM so bring enough cash.
Jaisalmer is a great place as well but quite touristic of course. We stayed in a very nice hotel inside the lower city wall, an old haveli. If you are interesed I might be able to find the name and location. It was not an expensive place, though not exactly very cheap as cheap goes in India.
For Dehli you might try the Cottage Yes Please hotel in Paharganj, cinema side, in the street directly behind the Metropolis guest house. The Metropolis has unfortunately lost most of it's former glory but the Cottage Yes Please was 2 years ago just new, very clean, helpful staff and it has 2 good restaurants across the street. Because it is just behind the main street in Paharganj, it is not so noisy also.
Should you want to stay on the main route, Pushkar is not to be missed. Somewhere in november there is the famous camel market and the town gets very busy and the hotels get of course much more expensive. Pushkar is very touristic but still very nice. Do not get fooled into a puja by the lake from one of the (fake) priests on the street. Nearby Ajmer has a trainstation and is a very important islamic pilgrimage town.
Jodhpur has a spectacular fortress but I never really liked the town itself. Somewhere between Johpur, Udaipur (another beautiful city) and Jaisalmer are the Jain temples of Ranakpur. There are some hotels nearby to stay and the location is more rural.
All these towns have seen their share of tourists. Bundi is the only one of them that sees only a few and stays unspoiled. When I visited in july/august 2006, my wife and I were practically the only foreigners in Bundi.