John Wagner generally keeps his tongue out of his cheek, instead staying serious, at least when the various gruesome deaths are a matter of historical record. Of course, a lot of Roman Catholic saints are very close to being fictional characters (actually, some, like the much-beloved St. Christopher, are fictional characters; others, such as St. George, might as well be).
As a compendium of 'terrible things people do to other people,' The Big Book of Martyrs offers a pretty wide range of awfulness. People get thrown out of boats with anchors around their necks, get riddled with arrows, beaten to death with truncheons, immolated in a variety of ways, eaten by bears, eaten by lions, stabbed, poisoned, blown up, beheaded, drowned, immersed in boiling lead, slow-roasted over a fire, thrown down wells, and so on, and so forth.
Indeed, due to the on-again, off-again invulnerability exhibited by some saints like St. Sebastian or St. George, many of them have more than one of these usually fatal things done to them. A decent amount of relevant information comes along with the mayhem, as more than fifty different artists illustrate more than 50 different tales of martyrs singular and plural (though the story of the Mongols and the 11,000 virgins is almost certainly apocryphal).
You even find out which martyrs saw themselves purged from the liturgical calendar for being a little too fictional, along with the feast days of various saints and situations in which one invokes a patron saint. One of the bizarrely, blackly comic facts one starts to realize is that an awful lot of saints were made the patron saints of the things that killed them, including a patron saint of tanning who was himself skinned alive.
How are the saints supposed to feel about this sort of thing? Because based on this book, there are an awful lot of patron saints of arrows, including St. Sebastian, who you'd think would have dibs on that position. Recommended.