Bonuses are classified as supplemental wages.
According to IRS rules there are two ways for your employer to withhold taxes on supplemental wages - see for reference IRS publication 15 - http://www.irs.gov/pub/irs-pdf/p15.pdf pages 15-17:
If your employer uses flat 25% rate for supplemental wages withholding - there is nothing you may do as your employer may not use different method of withholding at the same time.
If your employer withholds taxes from supplemental wages based on W4 filing - you may ask your payroll person to change W4 - to reduce withholding.
Yes - the IRS will penalized your employer for not following the withholding rules
You will be subject of penalty if you pay taxes less than in past year - please see details in the publication 505 - http://www.irs.gov/pub/irs-pdf/p505.pdf pages 48 - see also exemptions on the page 49 To estimate possible penalties - please fill the form 2210 - http://www.irs.gov/pub/irs-pdf/f2210.pdf