The aulos is a double-reeded pipe, like an oboe (though it’s sometimes played with a single reed, like a clarinet) made out of bamboo and bone. This 1st century AD mosaic from the “House of the Tragic Poet” in Pompeii shows a piper playing two auli at once, surrounded by actors in goatskin dresses and theatrical masks.
Traditionally, you play two auli at once. This allows you to harmonize with yourself, and anyhow each aulos has only 1/2 of the notes in a scale, so you need two auli to play a complete scale.
While the lyre is associated with Apollo, the aulos is associated with Dionysus.
Here is a 2-minute aulos performance by Prof. Stefan Hagel.