1) If you can afford the materials and time, definitely put some
framing or furring strips against the brick. I would use a combination
of construction adhesive and Tapcon screws to hold them up. Insulate
the void as needed before putting the new drywall in. The windows can
be fixed by making some jamb extensions the same thickness of your new
framing+drywall and gluing them to the existing jambs. I don't think
it would look bad at all, but that might be a matter of opinion.
2) not really sure what you want to do here. Tile is probably the way
to go in the area surrounding the tub, though I personally hate it
because it's harder to keep the grout clean (and the fact that I am not
good at installing it). If you're keeping the tub, it's probably
because you like the clawfoot look, so enclosing the base would be out
of the question. I would wander around a decent plumbing/hardware
store and look for ideas as far as fixtures go. Keep in mind that you
need to get a curtain around this somehow too.