The ocean view rooms at the Rio Othon Palace offer some of the best views in the city. The hotel is in Copacabana and you can see the beaches, the fort and sugarloaf all from your window. Its a great view at night too. Make sure to ask for a room on a high floor.
If you can't afford to stay here (around $350/night), go to the restaurant/ bar on the 30th floor for a drink and enjoy the views from there.