As someone who used to be a native of Budapest and but rarely went to baths, I'd say the Rudas is unbeatable for history (think XVI centrury cupole over the central pool) but I'm not sure what is the present condition of the bath - from the outside it looks quite beaten.... The Gellért is much posher and you get outside pool (in the summer) as well. The Széchenyi is something I never visited, but it's usually on the must-do list of many tourists.

In the 70-80's these places were also known for their gay patrons (ie. were part of the then semi-legal gay-scene), I don't know how's it today.