Just found this on yahoo answers...
Why does yngwie use a brass nut on his guitar, and did he or does he used japanese strats?
For the same reason they used to use brass in electrical lines, since it is an excellent conductor of electricity.
You don't want anything to interfere with the vibration of the string and brass would definitely be a good metal for that purpose.
As far i know there's no electrical current in the string itself, or is there?
Snake oil. Not only is that answer bullshit--string vibration is picked up by the way they interrupt the magnetic field of the pickups--but if it sounded better, everyone would use a brass nut. It was the rage in the late 70s and early 80s, and has died off.