For the spas, it comes down to the experience you are looking for and comfort with nudity.
The Friedrichsbad bath is more traditional, the routine more regimented, all nude, separate mens and womens sides (except at the end) Many who go, comment as much on the building as the experience.
The Caracalla baths are Modern, most of the area is a series of warm and cool pools, with water jets, a lazy river, some saunas; this area requires swimsuits, and is mixed sex, so you can be together. It is a bit like a modern water park but relaxed. Upstairs they have a spa area with various saunas and steamrooms, this area is also mixed, and nude, you walk in and shuck your suit, stowing it in a cubby hole. It is completely unstructured, you do as you please, spend as much time on anything, skip what does not appeal.
While both are relaxing, provide essentially the same basic thing (warm and cool pools, saunas, steam, etc.) they really are different experiences. People have their preference, but really, you have to make the choice yourself. My only advice is do not be put off by nudity, it really is a non-issue once your there.