To be fair, in modern houses (in Croatia, anyway :-) load-bearing elements (corners, beams above openings and at the top of each floor) are usually made of reinforced (or, in the case of very high structures pre-stressed) concrete. Bricks, hollow concrete blocks or blocks made of porous concrete (they mix it with hydrogen peroxide so that released oxigen makes trapped bubbles - very light and good insulator) are used to fill the skeleton. However, that was not always the case.

Gypsum boards are used very rarely in residential buildings. Masonry is usually covered by mortar (plaster? - anyway, mostly lime, sand and water); sometimes wood paneling is used.

Bricks are very good insulator if they are not solid. Modern non-load-bearing bricks have voids of perhaps 75% of horizontal cross-section. However, one usually puts a layer of insulating plaster (normal lime- or cement-based or synthetic resin-based, mixed with beads of insulating material - clinker, volcanic ash, polystirene) between masonry and final, decorative layer of facade. Another aproach is puting a layer of polystirene blocks between masonry and plastic mesh that holds together outer layer of plaster (not very vandal-proof).