This is Japan's only train station minshuku (family-run guesthouse) and it is wonderfully eccentric. It's literally part of tiny JR Hirafu Station: to reach the bathhouse you need to walk out onto the platform. While it's convenient to arrive by train, the station is not convenient for Hirafu proper; however, the guesthouse offers ski field transfers for ¥200.
In summer, the station 'master' hosts barbecues on the train platform; there's a small kitchen, too, well set up for self-catering.