In reply to Timmd:
> I seem to have an irrational aversion to expanding foam, I don't know if it's because I don't understand it, but it's a little bit weird seeming.
> Edit: Would external house paint take to stainless steel okay?
Expanding polyurethane foam has two disadvantages - 1) it oxidises and crumbles to powder if exposed to the elements, especially if mechanical force is applied 2) it's 'open cell' foam and absorbs water. Thus it shouldn't be used anywhere where it can get wet. I guess you could use it to fill a hole in the inner leaf of a cavity, but filling the cavity itself will result in a damp bridge, and using it on the outer leaf will invariably mean it gets damp unless the depth of render over the top is thick enough to prevent water penetration.
As others have said, do a proper job with brick/aggregate. The best job would be to remove the pipe, re-brick the hole up with decent chunks of brick (if not whole brick) and re-drill the pipe hole the exact size. don't forget to sheath the pipe in another pipe (preferably plastic) to prevent corrosion of the copper from chemicals in the wall. If you smash brick up into little bits it doesn't really offer much strength, so avoid that.