Preheat oven to 425°F. Cut Brussels sprouts in halves or quarters and put them in a large bowl. Sprinkle the rub, Worcestershire and cooking oil (or bacon grease) over the sprouts and mix until the sprouts are evenly coated.
Spray a baking sheet tray (or line with aluminum foil or cooking parchment paper) and put the Brussels sprouts on the tray, making sure not to pour the excess liquid and oil on them. Roast for 7 minutes, then stir them around and bake for another 5-7 minutes, or until browned and crispy.
Remove the sheet tray from the oven, toss the crumbled bacon with the sprouts, and serve the sprouts immediately, seasoning with more salt and pepper if needed (since the rub contains both pepper and smoked salt).