The szechenyi baths are awesome, Id love to go back. It was hilarious watching the local men standing up on the seats in the hottest sauna, as if it wasnt already burning the knackers off them.

The outside pool with the chess players was fab, although those guys are good!
I also second the recommendation for Fatal restaurant, although fgs dont over order, the portions are insane! Another fab restaurant is the one thats run only by women (dont know the name but its in the guide books, neat Szechenyi baths and the zoo), its around the corner from the most expensive restaurant in town, do not make the mistake my friends made when we arranged to meet them in the cheaper womens restaurant and go to the wrong one!
The statue park thing was alright, although it had some fab commie stuff in the gift shop.
We struggled to find bars until we realised they were all hidden away, found some fab ones but dont remember the names.
I loved Budapest, Id love to go back.