The biggest challenge in covering a bay window is finding a product that is shallow enough to meet closely in the angles where your windows come together.
For bay windows, it's always a good idea to choose a product with a small headrail for for visual appeal and function. Bulky window treatments with large headrails will protrude far out of your window and will leave large gaps in the corners where your windows meet. Smaller products will fit closer together for more light coverage and privacy. These considerations are dependent on your windows, so working with a design consultant is ideal.