One thing I don't hear mentioned very much w/ exercise and calorie burning is that your body continues burning calories after working out and exercise changes the rate that your body burns calories throughout the day.
For my workouts, I've found sprints and lifting weights on the heavy side to be great because my body spends a lot of energy rebuilding that muscle for a day or two after.
I'd be surprised if baths can change your resting calorie burn rate but I could see them improving circulation and heart health. People should probably still exercise though. Heh, finally I have an excuse to get that jacuzzi in the living room...