The majority of young children enjoy running around the house with no clothing on. So if their parents do the same, it's likely they don't even notice. And if they do, it's to point out differences -- "Mommy, why don't you have a penis (or whatever word your child uses to describe his private parts)?" As kids get older, say 6 or 7, they may become more aware of nakedness, particularly as they interact with peers and are (sadly) exposed to more on television. If your child has questions, answer them honestly and encourage an open dialogue. You want your child to get information from you, not anyone else.
It's also important to talk to your child, even as young as three, about inappropriate touching and private parts.
As for bath time, siblings have been bathing together, I would imagine, for centuries. Again, as long as both children are comfortable, I think it's fine. But as soon as one starts expressing displeasure or embarrassment, then it might be time for separate cleaning sessions.
In the meantime, try talking to your husband. Find out what it is exactly that makes him so uncomfortable. Is he equating nudity with sexuality? It's likely that your husband seeing you naked triggers sexual thoughts in him (perfectly natural), and he may feel strange feeling that way in front of your children. He may also worry that your young son is having similar thoughts (he isn't). Explain many experts believe that kids who see their parents naked grow up to be very comfortable and confident in their own bodies.
A compromise may be in order. Ask him to give your two children a bath together so he can see how innocent (and fun) it is. Or if he is really uncomfortable that you bring your son in the shower with you, only do it when your husband isn't home (with his knowledge).
Ultimately, this is a decision you need to make as a family.