How should I vent bathroom exhaust fans in an old brick house with slate roof?
Cutting a hole through brick is no big deal.  You could use one of these as a disposable hole saw for $20:


Or one of these as the "right" tool, which will be reusable for $75:


Most hole saws require a 1/2 inch drill plus a ~$10 arbor, both of which will be very useful for other projects in the future, like installing door knob sets in new doors, installing plumbing, ductwork, plenums, and all kinds of projects in plywood, sheet metal, lumber, plastics, etc. 

When making the hole, take care to slant it slightly downward (2%&mdash;1/4 inch per foot&mdash;is typical) toward the outside to prevent rain, etc. from finding a path indoors.  Install a vent device with a damper to prevent hot/cold air from coming inside when the fan is not on, and seal the hole at the outside surface thoroughly with silicon caulk.

Slate can be cut by this type of blade too, but holes through the roof are often fussier to make leak free.