Both of these twin towns have interesting historic background so before visiting them it is helpful to learn a bit about them.
We visited this site in very hot summer day in 2007. As a warning please don't do the same mistake as we did. As during siesta the towns are completely empty, everything is closed and there are no people you can chat or ask. In later ours this is comming to improve so you slightly change your mind from "very boring" to "interesting".
Ubeda is the bigger town containing many of religious builings and palaces from Renaissance period. They act together in harmony. The most interesting place is Sacred chapel of the Savior of the world placed near the main square. In size small but inside is very nicely decorated.
Baeza is a smaller sister which i liked more - mainly because our evenings visit.
If you are travelling around visit this site, otherwise it is nothing really special why to travel here.