Generally speaking, no. Chickens don't need baths. However, if they do get something stuck in their feathers that they are not preening out, you can choose to bathe them. You may be especially interested in this if you want to show your chickens at a poultry exhibition.
Keep in mind that bathing should be kept to a minimum, since shampoos can be drying to their feathers and make them brittle. If the dirt doesn't come out with simple water, you may want to try a pet bird shampoo like one you can find at your local pet store. These are generally kinder to their feathers than what you might use on your hair.
Be sure your bird does not get chilled when she is wet. If it's cold in your area when you bathe your pet chicken, you'll want to be sure your bird is dry before you put her back in her coop.
Additionally, there are times when it's a good idea to try to bathe your hen. For instance, if she has a lot of droppings stuck in the fluff around her evnt, you may want to bathe. Mind you, a little bit of dried poo is unsightly, but so long as it's not blocking her vent, it's not a problem. But if the poo is blocking her vent or if there's so much it's staying wet, do take the time to bathe your chicken. It's gross to think of, but that can attract flies to lay their eggs... and you don't want them to hatch there. Especially if he skin is irritated from the manure in her feathers, that could cause serious problems.
Lastly, most chickens won't like to be bathed, so be careful! Your sweet pet hen may scratch or peck, and she's likely to flap up a hurricane trying to escape. Bathing a chicken will make a wet mess, so be prepared. It's probably a two-person operation, especially if this is your first time bathing your bird.