The brightness setting is also called
Exposure Value. It's a quick setting that controls the relationship between the camera shutter speed and another factor (usually the aperture, but since aperture is fixed for the current Lumias it controls the ISO sensitivity). This means that for a certain EV, increasing the shutter speed will increase ISO sensitivity (higher sensitivity to compensate for the shutter speed so as not to make the photo too dark). The same is true when you change the ISO sensitivty, EV will control the shutter speed depending on the EV set.
Basically this means that if you make the EV high, expect near-over-exposed photos. And if you set the EV low, expect near-under-exposed photos (if not completely over- or under-exposed). This makes it useful for creating "artistic" shots by exposure manipulation.