Poke bratwurst several times with a small fork and place into a saucepan with beer. Bring to a boil over high heat, then reduce heat to medium and simmer for 15 minutes. Remove bratwurst from beer and allow to cool to room temperature.
Preheat oven to 425°F. Line a baking sheet with aluminum foil and place a wire rack on top.
Toss brown sugar and cayenne pepper together in a large bowl; set aside. Cut each bratwurst into three pieces, wrap each piece with half strip of bacon, and secure with a toothpick. Toss bratwurst with cayenne mixture to coat, then place onto prepared baking sheet.
Bake in preheated oven until bacon is brown and crisp, 25 to 35 minutes.