These stories and images were a testament to keeping the faith. In the face of great physical pain, your spiritual self could still be saved…even if you ended up missing a digit, limb, or other miscellaneous body part.
How to Become a Saint
From Saint Lawrence to Saint Agatha, enjoy this condensed compendium of canonization

Mass for the Dead, early 1460s, Willem Vrelant. Tempera colors, gold leaf, and ink, 10 1/16 × 6 13/16 in. Getty Museum, Ms. Ludwig IX 8 (83.ML.104), fol. 189
Body Content
Do you ever think about dying?
Medieval Christians did, and often. Books of hours were prayer books popular in the Middle Ages that contained hourly prayers to recite and images of saints, like Saint Lawrence below.

Saint Lawrence with a Book and a Gridiron, about 1466–1470, Master of Jacques of Luxembourg. Tempera colors, gold leaf, silver leaf, and ink, 6 7/16 × 4 1/2 in. Getty Museum Ms. Ludwig IX 11 (83.ML.107), fol. 130

The Martyrdom of Saint Lawrence from the Laudario of Sant’Agnese, about 1340, Pacino di Bonaguida. Tempera and gold leaf on parchment, 7 1/2 x 8 3/16 in. Getty Museum, Ms. 80b, verso
Why is he often depicted with a grill, or on a grill? In art, Christian saints are often depicted with symbols that relate to their manner of death or persecution.
Take Saint Sebastian as another example. He’s the patron saint of archers and athletes—isn’t it obvious?

The Martyrdom of Saint Sebastian, about 1430-1440, Master of Sir John Fastolf. Tempera colors, gold leaf, and ink, 4 3/4 × 3 5/8 in. Getty Museum, Ms. 5 (84.ML.723), fol. 36v
Saint Agatha has her own interesting story. Upon failing to convince her to drop her vow of chastity, the Roman governor ordered her breasts to be removed. She was saved by Saint Peter and became the patron saint of breast cancer.

Portrait of a Young Woman as Saint Agatha, 1516–1517, Cariani (Giovanni Busi). Oil on canvas, 27 x 23 in. National Galleries of Scotland
All of these gruesome depictions were meant to bring medieval Christians comfort, not fear.
Saint Erasmus, about 1430–1440, Master of Sir John Fastolf. Tempera colors, gold leaf, and ink, 4 3/4 × 3 5/8 in. Getty Museum, Ms. 5 (84.ML.723), fol. 38v
The Martyrdom of Saint Andrew, 1469, Lieven van Lathem. Tempera colors, gold leaf, gold paint, silver paint, and ink, 4 7/8 × 3 5/8 in. Getty Museum, Ms. 37 (89.ML.35), fol. 21
The Martyrdom of Saint Apollonia, 1469, Lieven van Lathem. Tempera colors, gold leaf, gold paint, silver paint, and ink, 4 7/8 × 3 5/8 in. Getty Museum, Ms. 37 (89.ML.35), fol. 50v