There are many bay window treatments you can use to make the most of your room. In fact, it's probably the amount of choice you have which causes problems. There's a number of ways of arriving at your final decision, so let's begin with the first question you need to ask yourself.
Do you want to cover your bay window?
Some windows are quite attractive as they are. Older houses may have unusual or ornate frames and it would be a shame to hide them.
Or perhaps you like a more minimalist approach, and don't want anything which might detract from the simple effect you're trying to achieve. You may have wonderful views from your room, and you don't want anything to interfere with them.
So don't think you always have to have some sort of bay window treatment - leaving the window just as it is can be one of the most effective solutions.
Privacy is one of the main reasons for having bay window treatments. If you're overlooked, or by a road, or your neighbors are able to see in, then you'll want to install some form of shade or curtain.
The simplest way to maintain your privacy is by fitting shades - roller, roman, venetian, etc.
These are very practical, and can be a good compromise if you don't want to hide the frames. Because they can be fitted either inside or outside the frames you can make them a feature or let them blend into the background.
To make them a feature, use a contrasting color or design so they stand out against the frames and walls.
To just make them fit in with the decor, then use the same color as the frames or walls.
Another useful way of giving yourself privacy while keeping to a simple solution is to use voiles, net or lace curtains. If you also use these on tracks, you can move them off the window when they're not needed.
If your bay window incorporates a door, you might find the section on french door window treatments useful.
Curtains and drapes
If you want to 'make a statement' in your room, then using curtains and drapes is the way to go.
This is quite a complex subject, but to make it easier to digest we've done a complete page on it! It contains a great deal of information to help you decide on which treatment would be best for you.
Top treatments only
If you want to keep your bay window uncluttered (so you don't cover up any of the glass area, for example), but you still want to 'soften' it, then consider using some sort of top treatment.
By having just a cornice box covered in a soft fabric, or fabric draped loosely along the top, you can achieve a soft treatment while keeping the window clear.
If you want an even simpler effect, then use false Roman shades. These won't actually work, but will have enough fabric in them for a few folds to show. They will stay fixed in position above the top of the window, and just covering a little of the frame.
As you can see from this page, there are many ways of treating your bay window. Once you explore some of the available options, you'll realize that these windows are no more difficult to deal with than any other in your home.