Preheat oven to 400 degrees F. Place a metal rack inside a large baking pan.
On a skewer, pierce one end of a strip of bacon. Pierce and place a brussels sprout on top of the bacon, then pierce the same strip bacon again (to top the brussels sprout) to form a weave. Repeat with two to three more brussels sprouts, depending on the size of your skewers. Repeat to finish the rest of the bacon and brussels sprouts.
Place on baking sheet and roast for 20 to 25 minutes, until bacon is slightly charred.