The measure of the brightness of a star is, for historical and physiological reasons, called its apparent magnitude . The human eye detects light in a logarithmic fashion, meaning that changes occur in powers of 10 rather than in a linear manner. So ancient astronomers divided stars into six classes or magnitudes where the brightest are first magnitude, the faintest are sixth magnitude. Later measurements showed that a change in 5 magnitudes is equal to a 100 increase in brightness. Here is a list of common objects in the sky and their magnitudes.
Negative numbers are bright stars.
From the table it is clear that the Sun is the brightest object in the sky, but it is not the brightest star in the Galaxy. It's apparent brightness is high since it is relatively nearby. We also distinguish between apparent magnitude and absolute magnitude. Apparent magnitude is what we measure in the sky, absolute magnitude is the real luminosity of the star, corrected for distance. So the brightest stars in the sky are not necessarily the closest stars.