Yellowstone Holiday RV Park - Hegben Lake $35 night. This park is actually right outside of West Yellowstone in Montana and is the perfect place to camp. The scenery is awesome! If you like to be away from the crowds but still close to everything, this is the park for you. It's 10 minutes to the west entrance of Yellowstone National Park. Check out my Montana board for things to do close by. Don't miss ATVing up two top mountain.