You can check ahead and see if your hotel has an in-room lockbox. Then get their policies of what amounts are covered in case of theft from the lockbox, and if there are any exceptions. Compare this to your car/homeowners insurance(depending on type of coverage).
Personally, even though neither situation is ideal, I'd favor the hotel room safe/lockbox, over a car lock box in an amusement park type parking lot. YMMV