Hot tubs have the advantage of not continuously requiring more water, but disadvantage of needing continuous heat. It seems pretty daft to me given the upfront cost of a tub that the default is to heat them electrically, surely heat pumps would be a better option, or even just plumbing them into the house radiator system? Either way, though nice to have, still they're likely to be even less eco friendly then a bath. (I'm excluding wood fired options here for lack of convenience plus the fact that they are usually refilled each use).
Saunas, with little water to heat, are presumably much more efficient, and even have some medically proven health benefits. For me they don't quite beat soaking in water but they're a close second.