The PDC European Tour's second visit to Budapest saw the BOK Sportcsarnok enjoy some sensational darts across three days of action.
2022 Masters champion and Premier League runner-up Cullen scooped the £25,000 top prize, claiming European Tour glory for a third time with his first win since the 2020 International Darts Open.
Cullen had battled past Martin Lukeman in Saturday's second round, and saw off Jim Williams in Sunday afternoon's third round to continue his challenge.
He then overcame Rusty-Jake Rodriguez 6-4 in the quarter-finals and survived three missed match darts from Dave Chisnall during their semi-final, before producing a 12-darter to complete a 7-6 victory.
Cullen's most dominant display came in the final, as he claimed the opening five legs without reply, twice punishing missed doubles from O'Connor whilst also posting a 13-dart leg, two 14-darters and a 100 finish.
O'Connor hit back with double ten and then produced a 124 finish to break with a sparkling 12-darter, but five further missed doubles in the next leg allowed Cullen in to move 6-2 up.
The World Series star then edged towards victory with an 11-darter as he took out 96, and four further misses from the Irish star allowed him to claim the title on double eight.
"I didn't expect to come to Budapest and win, but I'm over the moon," said Cullen.
"In my first three games I was terrible and a bit lucky to get through all three of them. Then I turned it on a little bit in the semis and I think I was pretty decent in the final.
"I kept Willie at bay, because I'd seen how well he played over the weekend and that's what I had to do."
O'Connor came from 5-3 down to edge out Michael Smith in Sunday afternoon's third round, before defeating Jose de Sousa and Nathan Aspinall to reach his first European Tour final since 2018.
"The fantastic crowd in Budapest is one of the best crowds I've ever seen," said O'Connor.
"If you told me before the weekend that I'd get to a final, I'd be absolutely ecstatic.
"Although it's a disaster to lose in any final - it's not nice - I don't mind losing to Joe. He's one of the best guys in the game and I wish him the very best in the future."
Sunday September 4
Afternoon Session
Third Round
- Joe Cullen 6-4 Jim Williams
- Rusty-Jake Rodriguez 6-4 Madars Razma
- Josh Rock 6-5 Dirk van Duijvenbode
- Dave Chisnall 6-3 Boris Krcmar
- Jose de Sousa 6-4 Jeffrey de Zwaan
- William O'Connor 6-5 Michael Smith
- Nathan Aspinall 6-4 Karel Sedlacek
- Ryan Meikle 6-5 Simon Whitlock
Evening Session (1900 local time, 1800 BST)
Quarter-Finals
- Joe Cullen 6-4 Rusty-Jake Rodriguez
- Dave Chisnall 6-0 Josh Rock
- William O'Connor 6-4 Jose de Sousa
- Nathan Aspinall 6-5 Ryan Meikle
Semi-Finals
- Joe Cullen 7-6 Dave Chisnall
- William O'Connor 7-5 Nathan Aspinall
Final
- Joe Cullen 8-2 William O'Connor