I remember how shocked I was around age 10 when I realized that the moon was right over my head in the middle of the afternoon. My sister’s friend refused to believe it was the moon “because the moon only shows up at night!”
This reminded me of the story of the gentleman walking through a park one evening when he encountered a couple arguing. One of them called him over:
"Say fellow. Help us out here. That bright thing up there, I say it's the moon, but my wife insists it's the sun."
"Sorry, I can't help. I'm not from around here."
It depends how you measure brightness. If you take "brightest" as meaning"The total amount of light we get from it," then yes, the sun is far brighter than all the other stars, but that's simply because it is closest to us. The moon is the second brightest object in the sky, again due simply to the fact that it is very close to us, so we get a lot of the light reflected off it.
Very often, however, we don't count the sun and moon and just consider stars outside our solar system. In that case, it is Sirius that is the brightest. This is called "apparent magnitude," or how bright the star appears to us.
But we can also measure brightness by considering the total amount of light put out by a star. This is called "absolute magnitude" and there are many stars that when measured this way far outshine the sun and Sirius. What is absolute magnitude?