A hollow bull is cast entirely out of brass with a door on the side. After the condemed was placed inside, the door was closed and a fire was set underneath the bull. This caused the bottom of the bull to become "red-hot" and thus burning/roasting the victim.
The head of the ox was designed with a complex system of tubes and stops so that the prisoner's screams were converted into sounds like the bellowing of an infuriated bull.
Combine the horrors of claustraphobia, suffocation, and burning at the stake, and you have the brazen bull. This is some fucked up shit.