Brick-wall filters sharply cut frequencies above the Nyquist limit (half the sample rate) to prevent aliasing during analog-to-digital conversion. The 'brick wall' name comes from the near-vertical slope of the filter in the frequency domain — almost all frequencies below the cutoff pass unchanged; almost nothing above passes.
The trade-off: steep filters introduce latency (processing delay) and can cause 'ringing' artifacts (pre- and post-ringing around transients). Modern converters use oversampling to push the filter far above the audible range, making these artifacts imperceptible.