What is the Hilbert class field of a cyclotomic field?

Giving an "explicit" description of the Hilbert class field of a number field K (or, more generally, all abelian extensions of K) is Hilbert's 12th problem, and has only been solved for Q and for imaginary quadratic fields. The Hilbert class field H of Q(zeta) will only be contained in a cyclotomic field if H = Q(zeta) itself --- since one can explicitly compute that any abelian extension of Q properly containing Q(zeta) is ramified at some place.

". . .if you fix p, and study the fields K_n obtained by adjoining a p^n-th root of unity to Q, then I believe that the exponent of p in the class number is independent of n (at least for n large enough). . ."

The correct (but still vague) statement here would be, not that the p part of the class numbers are independent of n for large n, but that the growth of the class numbers can be described very explicitly in terms of n. Roughly speaking: the p-part of the class number of K_n has exponent mp^n+ln+v for some integers m, l, v.

They can get arbitrarily large. You can write down formulas in certain cases; this a main theorem of Iwasawa theory. See also the notion of a regular prime.