Realistically I believe the Brazen Bull probably inflicts more pain, both physically and mentally. You're in a cramped and claustrophobic space that is slowly heating up, and getting slowly roasted to death is much more painful than blood loss because the heating up of the bull takes time. With the saw, the pain is probably much more instantaneously, so your body would adapt to it quicker. Of course, to the audience, getting sawed in half appears much more gruesome.
(How did they extract Vitae from the Bull guy if he got roasted?)
Which reminds me: did Alexander or Daniel even allow the prisoners to choose their torture method? If I was in their situation I'd opt for Rope (Wheel could be a close second). Which could lead to an interesting conversation, depending on how merciful the two are.