In season 2 episode 9 of Game of Thrones, why was the Hound in Lady Sansa's room? Why didn't he hurt her?
The full conversation for the scene is as follows. It is clear from the dialogue that Sandor is there because he is proposing taking Sansa back home to Winterfell seeing as he is leaving anyway.
Sandor Clegane: The lady is starting to panic.
Sansa Stark: What are you doing here?
Sandor Clegane: Not here for long. I'm going.
Sansa Stark: Where?
Sandor Clegane: Someplace that isn't burning. North, might be. Could be.
Sansa Stark: What about the king?
Sandor Clegane: He can die just fine on his own. I can take you with me. Take you to Winterfell. I'll keep you safe. Do you want to go home?
Sansa Stark: I'll be safe here. Stannis won't hurt me.
Sandor Clegane: Look at me. Stannis is a killer. The Lannisters are killers. Your father was a killer. Your brother is a killer. Your sons will be killers someday. The world is built by killers. So you'd better get used to looking at them.
Sansa Stark: You won't hurt me.
Sandor Clegane: No, little bird, I won't hurt you.
Game of Thrones, Season 2 Episode 9, "Blackwater"
For why he didn't hurt her? Well he didn't want to and after Blackwater he has given up on the king and so is leaving himself. He believes he hasn't done much right in his life but saving Sansa by taking her home is a start.