Brick will keep outside noise out but inside noise can bounce off the brick. It can give your room an echo if you don't have carpet and curtains to catch the sound.
Brick muffles the sound more from the street than wood, and siding.
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I'm not sure about the brick walls but i do know that if there are waterpipes inbetween walls, and this is usually the case, they will be what carries the most sound.
I mean like in an apartment complex, do brick walls carry sound through from apartment to apartment?