Budapest has the most medical thermal baths in the world, so there will be plenty of choices if you want to try this experience. We chose the Gellert thermal baths, which is situated inside the Gellert hotel on the Buda side of the city, right by the Danube (xi kelenhegyi ut 2-4). The baths are open Monday to Friday 6am-7pm and Saturday and Sunday from 6am-2pm.
Entering the baths can be confusing. It's hard to know what to ask for and very little English is spoken. They get very busy, making their patience with foreigners thin. Just ask around if this is a problem, as there will eventually be someone that understands or has the time to help. Basically, you will want to enter the pool and Thermal bath for the overall experience. Many of the treatments are for specific ailments anyway, and for this, you need a doctor's prescription to do them.
Bring a swinsuit and towel with you if possible. However, they can be rented here for about 400 HUF. The price to enter the swimming pool and bath is 1800 HUF (about 7.50 euros). Once you have paid and are through the entry, it's not any easier to understand where to go, but do what I did and just ask, ask, ask!!
Pretty much, you will be directed to locked cubicles where you can change and leave all your clothes til you return.
The swimming pool and Jacuzzi area is where you will enter first, though the water in the pool was really cold for me, so I started in the Jacuzzi, which felt great. It took a while for me to figure out that this whole area was just the pool, and I wasn't in fact anywhere near the baths yet. Eventually, I figured that out when I saw various people heading to the far end of the pool and disapearing from sight, women one way, men another.
So I followed, and there, through a corridor, were the Baths. Warm, lovely thermal baths with art-deco high ceilings, and off from them were steam baths, dry saunas, showers, and a freezing-cold water pit! All were included in your entry. I tried all of these. It's segregated to women only, and the majority were naked or covered just in a loincloth, of sorts. My husband had gone to the men's side and said it was about the same there. You could tell the nationality of the people there by what they wore. The locals were the naked ones, older and strutting around without a care in the world. The Germans were younger and wore the loin cloth over their bottom half, the English and Swedish had bikinis on, with sometimes just the bottom half, and the Americans had full suits!!
I liked the saunas, which had various rooms with various degrees of heat (the last one almost burned my lungs off).
The steam room felt great but had a disgusting sulphur smell, as the minerals dripped from the roof. This place is not for the prudish. The locals are well used to being naked and have no qualms about rubbing, itching, and sitting in the most unladylike ways around you!! It's certainly an experience not to be missed, and you really feel part of the Hungarian culture. It is a popular tourist spot, but the majority of people there were locals at the time we went. In mid-March (as it was when we went), this was a fantastic chance to warm up and rest your weary joints from all the sightseeing.