The employer typically withholds Bonus taxes at a simple 25% for all employees instead of going through all your W-2s. Then at tax time you square up with the government. If you effective tax rate is less than 25% you will get the difference back in the refund check. If you are in a higher tax bracket than 25% you will pay the difference.
States vary on how they get theirs.

TL;DR: The bonus is taxed at your normal income rate when all said and done.