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Bullpen
This is the area where relief pitchers throw their warmup pitches before entering the game. Nobody knows the exact origin, but one theory is that there used to be ads for "Bull" Durham Tobacco on the outfield walls next to where the pitchers would warmup.

A second theory comes from the fact that when fans arrived late, they were herded like bulls into a roped off section which came to be known as the bullpen. This was the same area where pitchers warmed up.

A third theory is that pitchers who were taken out of the game had been "slaughtered" like a bull; and the new pitcher would suffer the same fate.

This is from a website visitor:
Actually, there are some people who know where this term came from. Several years ago during a tv or radio Giants game the color commentator had the answer (I think it was Jon Miller at ESPN). When the Giants were in New York, they played at the old Polo Grounds, (since demolished). When it opened in the 1880's, there was a stockyard or pen with bulls that was beyond the left field wall.