I've flown into and out of both, and I greatly prefer Luxembourg, for several reasons:
1) Smaller - LUX
is quick and easy to get in and out of, but still has easy connections via taxi and bus into the city where you can catch a train. Brussels Airport seems like it takes an hour to walk to and from your gate...it really is huge, I was shocked when I showed up for my BRU
flight a couple years back.
2) Luxembourg as a city is, in my eyes, superior to Brussels. I am not a fan of Brussels, and would rather not deal with the hastle of it. Luxembourg is quick and easy to get around as a city too, but watch out, parts of it (like any larger city) can be dangerous. Luxembourg (City) has gotten a bad rap recently for being dangerous, but I think it's overrated.
However, sometimes you can find cheaper flights into Brussels as it is a bigger city, and the connections to the city are by train (about 15 minutes to all the major train stations - North, South, Central), which I don't believe Luxembourg has. However, in the end, I would personally choose Luxembourg, unless there is a big price difference.