We've been to Anguilla three times over the last few years and always during the high season, Christmas and/or New Year. The season kind of rules out all the most expensive places, I just cannot see the point of staying somewhere where the same room costs 2-3x more than the next month. 20-30% I can accept.
If you want to stay within the hotel facilities for the full time, then you're better off with the more luxurious choices but we prefer to mainly sleep there and eat around the island, visit different beach every day and do our own shopping in the grocery store instead of minibar or room service.
La Sirena was basicly fine, a bit "German" (the owners are Swiss?) in athmosphere and the room was a bit wearn, nothing major though. The mandatory New Year dinner was ok but we don't like that kind of mandatory things. We could stay there again, no problem. The location is quite fine, walking distance from Meads Bay which is the best beach on the island for sunset walks.
This year we stayed at the Paradise Cove Resort. The room was spacious, small kitchenette and large balcony. We didn't use the pool or the other facilities but they seemed quite fine, there were even laundry facilities for the guests. We stayed in the new building (one or two years old?) so I don't know if all the rooms are as good but it was definetly worth the money and exactly what we wanted. This is #1 for our future trips to Anguilla for the moment.
Of the other more expensive places I would probably like to stay at Malliouhana or Cove castles. Cap Juluca and CuisinArt are too much "we stay within the hotel facilities" places. Frangipani seems to be nice as well but I doubt it's worth higher price than e.g. Paradise Cove. The hotel choice also depends if you want to be surrounded by a lot of people and/or want to be on the beach, we prefer less people and the beaches are never far away in Anguilla.
We typically eat both in the smaller local places and occasionally at the bigger hotels. On our last trip we noticed that the pricing for local places was pretty much the same but that didn't apply to the quality. The bigger places have typically fine (and expensive) food but lack character. I guess the british heritage doesn't give much ingredients for culinary enjoyment..
Anguilla and St. Barths are our favourites; Anguilla for the quiet and superb beaches, St. Barths for the french characteristics, food and scenery. No bad things to say about neither of the islands.
Petri