Curtains might be the most obvious choice for your bay window treatments, but venetian blinds are becoming more popular as time goes on. Venetian blinds are great because they are so durable and can be made from many different materials, so you can find the one to suit your bay window area. If your area has its original wooden frames, then you should think about selecting a venetian blind from that same material, or one made to look like that material. The blind should be inside the recess so you can still see the frames.
Wooden venetian blinds add a touch of warmth to any bay window, but might not be the best choice if you have a small area to cover. When they are raised, they will chunk at the top, and will cover some of the window area up there. The larger the covering, the more space it will take up at the top. Even for a small window, cutting out some window space will take up a significant portion of the light coming through.