... which reminds me, I haven't yet gotten around to posting my results, though it would probably be more than most of you want to read.
The simplistic answer is that the extra mass of the brass helps to keep the energy in the strings, rather than bleeding out into the body, so you get more sustain.
While I believe that's generally true, I'm convinced I hear differences using blocks that weigh the same but are made of different materials. This is perhaps more a difference in tone across the strings, than overall sustain (which was slightly less interesting to me personally).
But then again, using the same material for two blocks, and inserting some weights in one of them, I preferred the heavier one for more even response, which favors the argument that (for me, at least) heavier is better.
I've settled on a block I made that contains a high proportion of tungsten, and weighs 450 grams, versus the 300 gram brass block I started with (I was going for a full pound, missed by just a few grams).
I'm not sure I should admit this, but I actually tried 11 different blocks. In hindsight, brass is pretty darn good...
I wasn't able to compare the basic difference between having a sustain block, or just screwing the bridge into the body - that's a somewhat more difficult experiment. But I think it's safe to say that you will definitely get more sustain, and more consistent tone (balance of harmonics) across the strings. I also believe it will somewhat reduce the influence of the body woods, though these will still certainly make a difference.