Stainless is great for any brewing applications except where heat-transfer is desirable.
Brass is awesome for situations when you can't afford to buy stainless steel.
Both alloys are fine for brewing. Stainless does not conduct heat as well as brass or copper. Some brass fittings should be pickled to eliminate lead.
Brass is also softer than stainless, so there's no need to use Teflon tape. You can attach a brass fitting to a Therminator, for instance, without fear of the threads welding together.