In the city, you'll take any Green Line train except the "E" train to Fenway/Kenmore, from there just follow the massive crowds wearing Red Sox hats to the park. I don't know of cheap hotels outside of the city, but if you want a cheap place to stay in the city, within walking distance to Fenway, check out the Boston hostel.
HI - Boston :: Hostels to Reserve in the United States
Parking might be an issue there though. I used to live in the neighborhood and it was a pain. Taking a bus from Baltimore would be convenient, if you want to stay in the city.