The Szechenyi baths are the largest of Budapest's many bathhouses, and a beautful and welcome sight in winter.
When you arrive, you are given a receipt and magnetic key. You are required to pay the full fee (900 HUF) up front, and are given a partial refund if you stay less than two hours. Once inside, lock your clothes inside a locker (don't lose the key!), shower, and step outside and into one of several outdoor warm-water baths. Steam rises up from the water, and the mineral content of the water makes it smell a bit harsh, although it does a great job of clearing your sinuses!
After you've had enough of the warm water, grab your towel and RUN into the steam room on the other side of the complex. Temperatures in here are too hot to be really comfortable after you've warmed up for a few minutes. Relax by bathing in a tepid-water pool--the perfect ending to your Hungarian bathing experience.
Szechenyi also offers massages, soapy rub-downs, and various therapies for those with rheumatic ailments and various musculoskeletal disorders, although you need a doctor's prescription for these.