For training in Kenya, there are several options.
The easiest by far is to stay at a camp like Lornah's, but this is also not going be be a super cheap option. I've stayed there a couple of times, and it is great. You don't really have to think about anything - meals are prepared for you, hot showers and self-contained rooms, satellite TV in the dining room and an on-site gym with trainer. Contact them about pricing - varies depending on the length of your stay.
A step down from that would be one of the mid-range hotels in just about any major town - could be Eldoret, Nyahururu, or anywhere else. Might run you $10-12 a night full-board. Comfort & security won't be what it is at Lornah's, but it should be fine unless you're in the habit of leaving high-end electronics and loads of cash in your room. That said, I can't imagine there being a better place to train than Iten. My wife's uncle is trying to sell us a farm there right now, and I'd love to have a vacation place there - it's great. Eldoret is a decent town, and you can get almost anything you need there, but it's not really the greatest training location ever.
The lowest end thing that would be sane would be to rent a room in one of the smaller villages like the Kaptagat, Kapsabet, or Iten. I had a set up in Kaptagat where I rented a room from a family for 5,000 Kenyan shillings ($72)a month and had a hot shower, TV, someone to do my laundry, and breakfast & supper each day. I do think I got pretty lucky there though - had a family I could trust, I can speak enough Swahili to survive and communicate, etc. But that is out there.
If you've never been before, or if you're going for like a month, I'd say just bite the bullet and spend the cash for a room at Lornah's place. If you're going for longer, maybe stay at Lornah's for a while until you sort out your own place. Making the transition to true "Kenyan style" living is too demanding to justify doing it short term - by the time you're adjusted and ready to train well it will be time to leave.
Anyway, I've put a little info on the website below, and if you want some specific answers to questions about anything, please feel free to drop me an e-mail.
Mzungu