Cheltenham is the most sophisticated town in the county and the obvious base for exploring the Cotswolds. It became fashionable after George III took the waters here in 1788, and the Regency building boom that followed left it with wide tree-lined streets, ornate ironwork balconies, and a sense of confident elegance that has worn well.
The spa is still operating in a fashion: the Pittville Pump Room, set in its own parkland, will let you drink the mineral water if you want to know what all the fuss was about. The Cheltenham Art Gallery and Museum holds one of the best collections of Arts and Crafts furniture outside London. The town also has a strong literary and musical tradition — the Literature Festival in October and the Jazz Festival in April both draw serious programmes.
Cheltenham Racecourse is world-famous as the home of National Hunt racing, and the Cheltenham Festival in March is one of the great sporting occasions in the British calendar. If you are here at the wrong time of year, the racecourse is still worth a look for the architecture alone.
For shopping, the Promenade has the department stores; for something more interesting, head to Montpellier and the Suffolks, where independent boutiques, antique shops, and good cafes cluster around the Regency squares.