Bricks are made with the two most abundant materials on Earth: clay and shale. These two materials are then put in a furnace, called a kiln, and heated to 2,000°F (approximately 1,100°C). By a chemical process (vitrification), the materials fuse together and form bricks.
Concrete bricks, gray bricks similar to clay bricks, are not really bricks, even though people call them such on a regular basis. Concrete bricks are significantly easier to break that clay bricks.
Due to the longevity of clay bricks, some of the American colonial buildings still stand today. A few examples are Virginia's St. Luke's Church (est. 1632), the Boston State House (circa 1713), and Philadelphia's Independence Hall.