Budapest is an amazing city, and there are lots of sights to visit in it. You'll probably walk a lot, spend lots of energies during the day, and get tired around afternoon.
That's exactly the time to spend 2-3 hours at Szechenyi baths, as it is open (at least when we were there) in the late afternoon towards the evening. Some of the baths were closed, but most of them were open, and there are many - 20, 32, 36, 40, Celsius degrees and many more, as well as saunas with different tempratures, and the surreal outside pool, where the water can be very hot and the air around 0 degrees. It isn't so expensive too - around 15 euros, and definitely worth it.
The entire complex is tastefully designed and gives you kind of a 'historic' feeling, with the beuatiful architecture of it.
There are lockers where you can leave your belongings (incl. in price) and the entire site is very organized.
The only downside of late visit is that the massages services are closed...But the thermal pools are more than enough for most people.
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