They were pretty bad. Paul notes in Ephesians that he is moving on and that he expects to be tortured and put in jail. that's why services were held in homes rather than separate buildings, for the most part. Of course the Colisseum activities are well-known, but there were many crucified during that period and left hanging along the roadways.
Not as bad as they claim if you read Pliny the Younger.
He allowed Christians to either recant or to simply swear an oath of loyalty to Rome.
He only executed those who refused to swear allegiance to the Empire.