Usually, you need your swimming costume, and if there are steam rooms I like to take a really good deep cleanser so I can slap it on and steam it in, plus moisturiser.hair brush etc.
Generally you get changed into swimmers and the robe/slippers they provide, you get a tour round, and then you swim/steam/relax/gossip till your treatment time, then do the same after each treatment. You'll all have different times.
I was going to suggest ipod or book as they usually have a quiet area to relax in but as you're going on a hen do you probably won't be sitting somewhere on your own for long! I always forget to take make up remover and end up with mascara streaks down my face after swimming...
If you do use the steam room, do it before your facial. Will make all your pores pop open and then your facial with be all the more effective.
Really recommend the flip-flops bit. Went to a hen at a super-expensive and swish spa last year, locked boots away, and found I was really skidding/ slipping, both on my bare, newly pedicured, so smooth-soled, feet AND in the towelling slippers provided every time I walked along the side of their vast pool, so had to inch along gingerly. Not very relaxing,or cool!