Everybody goes to the Széchenyi thermal bath in City Park, and so should you. My tip: go right when it opens, at 7 a.m. on weekdays and 8 a.m. on weekends. Check the current hours on the bath's site. Even if getting up hurts, it's worth every yawn. At that hour it's almost all locals, and you get a glimpse of how it used to be all day, before the tourist invasion. These days it's very touristy, but first thing in the morning you still get the original experience.
It doesn't matter how cold it is outside: the water is warm, the steam rises, and the whole thing feels a little mysterious. Try it.
You can even drink the thermal water. Right by the metro station there's a drinking spot, a bit like a water bar, serving the thermal water in jugs for less than a dollar. It smells and tastes strongly of sulfur, but it's supposedly very good for the stomach.
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