"Consider the saints as the acts in a great circus"

Saint Catherine of Alexandria (4th century) converted to Christianity in her late teens and argued with the Roman Emperor Maxentius against persecuting Christians.  She convinced his wife and many of his courtiers, but was then imprisoned and eventually condemned to death on the breaking wheel, an instrument of torture on which victims were beaten with cudgels.  The name of the spinning firework, the Catherine Wheel, remembers St Catherine's martyrdom. 

Saint Lawrence (225-258) was a deacon of Rome who was entrusted with guarding the Holy Chalice, Jesus' cup from the Last Supper.  He sent it to Aragon for safekeeping and distributed much of the church's wealth to the poor to prevent it being seized by the prefects of the city.  He was killed by burning over a grill, and is often depicted with a gridiron.

Saint Sebastian (3rd century) was a captain of the Pretorian Guard who converted many fellow soldiers and later fellow prisoners to Christianity.  He was bound to a stake in a field and shot with arrows, or sometimes with thrown knives or spears.  However, he survived and was nursed back to health to cure a girl of blindness before being recaptured and shot.  He is a popular figure in art and literature and appears in many paintings and sculptures, including a famous portrait by El Greco.

Saint Jerome (347-420) was a scholar in Rome who translated the Bible into Latin.  In one mediaeval story he is said to have removed a thorn from a lion's paw, and he is often portrayed with a lion in art.