What should I use to seal an exterior garden hose faucet pipe?
I would personally use Loctite PL Polyurethane Concrete Crack &amp; Masonry Sealant, which will adhere well but still provide a degree of flexibility as your pipe moves within the brick. It's grey, but you can also mix in a little concrete dust or dirt to give it that "I'm not shiny caulk, honest!" look. 

The PL product should be available at your local home improvement stores. (Homer's or Lowe's or Ace or whomever.)