The problem with equating luxury to "comfort," is that it breeds disappointment. Hot shower not working? Big problem. Bad food? Yell at the waiter. No air conditioning? Won't stay at such a place. We begin taking things for granted, then act like children when we don't get our way.
In my opinion, true comfort is being happy in any given situation. Sure, the first time I took a cold shower was a real downer, because I had never done it before ! However, three months later, I don't bat an eyelash about it! The same goes for filthy dorm rooms and less-than-pleasant bus rides. I simply learned to live under a different set of circumstances, and that's a beautiful thing. It makes me more rugged and open-minded, and less likely to be bothered by petty inconveniences. You can bet that when I return to Western civilization, no one will hear me complain about the shower "not working properly."
It's important to step outside your comfort zone, because comfort is relative. When you expand that "zone," you effectively reduce the number of things that you'd consider "uncomfortable." Travel (especially the budget kind) is the perfect way to challenge yourself, because it forces you to throw your preconceived notions of "comfort" out the window.
So strap a bag across your shoulders, hop on a plane, and experience the greatest comfort known to mankind!