It looks like the Pageant is close to Washington University. I went on Washington University's website and found a list of nearby hotels, and at a glance there are a couple only 1 or 2 miles from the venue. I'm 99% sure I'm going to this one but I haven't picked a hotel yet. If anyone nearby has specific recommendations I too am all ears.
there are several thai restaurants, a sub-par chinese place, ok sushi and a pretty good mexican tapas place within walking distance of the venue.
there are no hotels within walking distance of the venue. 44 and hampton is about a ten-minute drive. clayton is the city over from university city (which is right where the venue is), and will have a bunch of hotels. might be sorta pricey.
there's a pretty good/cheap hampton inn on market street, near downtown/union station, that's also about a ten-minute drive off of highway 64-40.
there will be a DJ doing 80s-britpop, etc. in the bar adjacent to the venue before the show, and a bunch of DJs doing 80s-new-wave-post-punk-90s, etc. after at a bar called Mangia, about a 15-minute drive. it's an unofficial after-party, a 3 a.m. bar, and lots of fun.