Lost Creek State Park (406/542-5500, http://fwp.mt.gov/parks [1], May–Nov.) six miles off Highway 48, two miles east of Anaconda [2], is a campground in a narrow limestone canyon. A waterfall, interesting geology, and mountain goats and bighorn sheep make this a nice alternative to urban RV sites.
Big Sky RV Park (200 N. Locust, 406/563-2967) has fishing access on Warm Springs Creek and is near public parks.
Warm Springs Campground (www.fs.fed.us/r1/b-d [3], late June–mid-Sept.) is in the Beaverhead-Deerlodge National Forest 11 miles northwest of town on Highway 1, then two miles north on Forest Service Road 170.
Links:
[1] http://fwp.mt.gov/parks
[2] http://www.moon.com/destinations/montana/butte-helena-and-southwestern-montana/pintler-scenic-route/anaconda
[3] http://www.fs.fed.us/r1/b-d