There are bath houses. The springs really aren't out in the open. There are a couple of places that are, but probably not exactly what you envision. It's all on main street and really the reason for the National Park is more preservation of a few buildings. People used this for medical reason in the early 1900's. Most of the springs are capped off.

I really never have understood this national park or how it became a national park. I have been to 25 national parks. I love national parks and this one is absolutely my last favorite. It is only 2 hours from me and I would never go to Hot Springs for National Park. Several Lake State Parks nearby are far far better. That said, it is worth one trip, especially if you are in the area.

You could take a bath at Quapaw or Buckstaff. Do one of the tours there through one of the houses. Eat at McClards BBQ(Bill Clinton favorite) watch the horses run at Oaklawn. You might consider venturing to one of the state parks in Arkansas.

If you want to stay downtown then in my opinion the best option is the Embassy Suites. A couple of miles from downtown, the Comfort Suites is a wonderful property. Both locations are great, with friendly staff, nice furnishings and linens. They both serve a hot breakfast. Embassy Suites is more extensive and they also have a managers reception in the evening from 5-7 where you can enjoy your favorite beverage for $1. Most manager's receptions are free but there is some weird law in Arkansas that prohibits dispensing alcohol without charging a fee.

"I really never have understood this national park or how it became a national park."

It was the first federally protected area in our country. Maybe this will help you understand why it was protected -
http://www.hotspringsar.com/info/natlpark/history.htm
http://www.nps.gov/hosp/historyculture/index.htm

"Soon the idea of "reserving" the springs for the Nation took root, and a proposal was submitted to the Congress by the territorial representative, Ambrose H. Sevier. Then in 1892, the Federal Government took the unprecedented step of settings aside four sections of land here, the first U.S. reservation made simply to preserve a natural resource."

"Hot Springs Reservation was initially created by an act of the United States Congress on April 20, 1832, and the area was made a national park on March 4, 1921. It is the smallest national park by area in the United States"

http://en.wikipedia.org/wiki/Hot_Springs_National_Park

Just when I go there, it baffles me that it is a National Park is perhaps a better statement. It feels odd walking down a fairly normal main street town with a few old buildings. Some which are fairled bad shape. Only recently did they refurbish and open a couple of them up. It just doesn't seem like a National Park at all.