A "brick" is basically when you go from one discipline to another during the same workout.
The most critical is the bike-to-run transition. This is where the term "brick" gets its name - when you try to run after you bike, your feet feel like bricks!
I did my first brick today. I took the advice of internet pundits and started slow... did a 1.5K run after my 20K bike.
It was just as tough as advertised. The legs just didn't want to cooperate... it took a good 1/2 kilometer before I finally started to get some running pace going, and I was almost done before I felt good.
I'm going to do a few more of these mini-bricks (2K or so after a bike ride) before I try a true brick workout.
There seems to be two schools of thought...
1) Standard - Bike 20-30K (second 1/2 harder than first), then run 5K or so fast
2) Broken - Bike 10K, run 2K, repeat 3 times increasing intensity each iteration
I'll try both and see what works best for me... but I think either should work just fine. Distances can vary a bit based on what's being trained for.
There are also swim-to-bike bricks... but honestly, I can't be bothered. I swim in the pool, getting from there to my locked up bike for a ride makes for a really clunky transition.
I do swim-to-run bricks, but only because running to the pool is fun. :) It's probably useless as a brick workout, but it's a good way to get in both a swim and run on the same day.