At my employer, bonuses always have 25% withheld for federal instead of being calculated based on the W4. Combined with 7+% for social security and medicare, and any state income tax you may have, that could add up to ~40%.
They aren't actually taxed more, just withheld at a higher rate, so you'll get the difference back when you file your return.
If you can predict the bonus amount fairly well, you can take it into account with the
IRS Withholding calculator and reduce the tax that is withheld on your regular pay to compensate.